Zero-sum games with charges

Abstract

We consider two-player zero-sum games with infinite action spaces and bounded payoff functions. The players' strategies are finitely additive probability measures, called charges. Since a strategy profile does not always induce a unique expected payoff, we distinguish two extreme attitudes of players. A player is viewed as pessimistic if he always evaluates the range of possible expected payoffs by the worst one, and a player is viewed as optimistic if he always evaluates it by the best one. This approach results in a definition of a pessimistic and an optimistic guarantee level for each player. We provide an extensive analysis of the relation between these guarantee levels, and connect them to the classical guarantee levels, and to other known techniques to define expected payoffs, based on computation of double integrals. In addition, we also examine existence of optimal strategies with respect to these guarantee levels.