Non‐additive anonymous games

This paper introduces a class of non‐additive anonymous games where agents are assumed to be uncertain (in the sense of Knight) about opponents’ strategies and about the initial distribution over players’ characteristics in the game. We model uncertainty by non‐additive measures or capacities and prove the Cournot–Nash equilibrium existence theorem for this class of games. Equilibrium distribution can be symmetrized under milder conditions than in the case of additive games. In particular, it is not required for the space characteristics to be atomless under capacities. The set‐valued map of the Cournot–Nash equilibria is upper‐semicontinuous as a function of initial beliefs of the players for non‐additive anonymous games.