Abstract/Summary

We provide an existence result for the solution concept of generalized Nash equilibrium, which can be viewed as the direct incomplete information analogue of Nash equilibrium. Intuitively, a tuple consisting of a probability measure for every player on his choices and utility functions is a generalized Nash equilibrium, whenever some mutual optimality property is satisfied. This incomplete information solution concept is then epistemically characterized in a way that common belief in rationality is neither used nor implied. For the special case of complete information, an epistemic characterization of Nash equilibrium ensues as a corollary.