Game Theory

Nash Equilibrium in Mixed Strategies

Tetsuya Hoshino January 17, 2023

In this note, we study the notion of mixed strategies, which randomize a player’s choice of
action and then define Nash equilibrium in mixed strategies (Nash, 1950).

Example 1. We reconsider the following matching pennies game:

H T
H +1, −1 −1, +1
T −1, +1 +1, −1

Table 1: a matching pennies

This game has no pure-strategy Nash equilibrium. However, each player i may randomize her
choice of action. She chooses actions H and T with probabilities αi (H) and αi (T ) respectively.
This randomization makes sense if and only if αi (H), αi (T ) ≥ 0 and αi (H) + αi (T ) = 1.
We will define a mixed-strategy version of Nash equilibrium, which we call mixed-strategy
Nash equilibrium or Nash equilibrium in mixed strategies. By extending the notion of Nash
equilibrium to mixed strategies, we will be able to find a (mixed-strategy) Nash equilibrium in
the matching-pennies game. □

1 Mixed Strategies
We introduce a notation: For any (non-empty) set X, we write ∆(X) for the set of all proba-
bility distributions over the set X.1

Definition 1. In a normal-form game G = 〈I, (Ai , ui )i∈I 〉, player i’s mixed strategy αi is
a probability distribution over the set Ai of her actions, and we write Ai = ∆(Ai ) for the set
of all her mixed strategies. Let α = (αi )i∈I ∈ A be a mixed strategy profile, and we write
!
A= i∈I Ai for the set of all mixed strategy profiles.

Definition 2. Player i’s mixed strategy αi ∈ Ai is classified as follows:

1. αi is a pure strategy if it assigns probability 1 to a single element ai ∈ Ai .
2. αi is a strictly mixed strategy if it is not a pure strategy.

Remark 1. By definition, a mixed strategy αi is a pure or strictly mixed strategy. Then, we

often refer to mixed strategies simply as strategies. □
1
For readers familiar with measure theory: In most applications, we define probability measures on a Polish
space X (i.e., a separable complete metrizable space), which includes a finite set (with the discrete topology)
and a subset of a Euclidean space. Then, let ∆(X) be the set of all Borel probability measures.

1
 How should we define players’ payoffs when they use a mixed strategy profile α = (αi )i ?
Since each player randomizes her choice of actions on her own, it is natural to assume that
each player’s randomization is independent of any other player’s randomization. We then define
player i’s payoff function ui : A → R such that ui (α) is the expectation of her payoffs:2
# %
" $
ui (α) ≡ αi (ai ) ui (a). (1)
a∈A i∈I

Remark 2. We abuse the notation in equation (1). The left-hand ui is a function A (→ R,

while the right-hand ui is a function A (→ R. In this sense, the two ui ’s are different functions,
but we use the same symbol because there is no risk of confusion. □
! !
Remark 3. The domain of the extended ui is the set A = i ∆(Ai ). The order of i and ∆
is important, because:
!
1. α = (αi )i ∈ i ∆(Ai ) means that αi and αj are independent (i ∕= j). In words, players’
randomization must be independent.
!
2. α̃ = (α̃i )i ∈ ∆( i Ai ) means that α̃i and α̃j are not necessarily independent (i ∕= j). In
words, players’ randomization may be correlated. Such strategies that allow for correlated
randomization are called correlated strategies, which we will study in another note. □

2 Mixed-Strategy Nash Equilibrium

With the notion of mixed strategies, we can formalize mixed-strategy Nash equilibrium. As is
obvious, the basic idea is exactly the same as pure-strategy Nash equilibrium.

Definition 3. In a normal-form game G, a Nash equilibrium (in mixed strategies) is a

mixed-strategy profile α∗ ∈ A such that for each i ∈ I,

ui (αi∗ , α−i
∗
) ≥ ui (αi , α−i
∗
), ∀αi ∈ Ai . (2)

Similar to pure-strategy Nash equilibrium, we provide an equivalent definition of mixed-

strategy Nash equilibrium.

Definition 4. In a normal-form game G, player i’s best-response correspondence (in

mixed strategies) is a correspondence BRi : A−i → 2Ai such that BRi (α−i ) is the set of
players i’s optimal mixed strategies when players −i play mixed strategies α−i . That is,

BRi (α−i ) = argmax ui (αi , α−i ).

αi ∈Ai

2
For the sake of simplicity, we assume that the set I of players and the set Ai of each player i’s actions are
countable. It is straightforward to extend this notion to the uncountable case.

2
 Box (Mixed Extension): Some references often define mixed-strategy Nash equilibrium
in a seemingly different but equivalent way. Here we mention these definitions.

Definition 6. The mixed extension of a normal-form game G = 〈I, (Ai , ui )i 〉 is a normal-

form game G = 〈I, (Ai , ui )i 〉 such that:
1. Each player i’s strategy space is extended to the set Ai = ∆(Ai ) of mixed strategies.
!
2. Each player i’s payoff function ui : A → R, with domain A = i Ai , is extended in
the expected payoff fashion (1).a

We can formalize mixed-strategy Nash equilibrium as follows.

Definition 7. In a normal-form game G, a (mixed-strategy) Nash equilibrium α∗ ∈ A

is a pure-strategy Nash equilibrium of its mixed extension G.
a
For brevity, we use the same notation for the (unextended) payoff functions ui : A → R and the extended
payoff functions ui : A → R.

Definition 5. In a normal-form game G, a (mixed-strategy) Nash equilibrium α∗ ∈ A

is a mixed strategy profile such that for each i ∈ I,

αi∗ ∈ BRi (α−i

∗
).

As in the case of pure-strategy Nash equilibrium, Definitions 3 and 5 are equivalent to each
other. To see this, we note that inequality (2) says that strategy αi∗ is optimal for player i
when players −i play strategies α−i
∗ . Formally, α∗ ∈ argmax u (α , α∗ ) ≡ BR (α∗ ).
i αi i i −i i −i
We offer a memorable paraphrase of Nash equilibrium.

A strategy profile α∗ is a (mixed-strategy) Nash equilibrium if every player i plays a best

response αi∗ to players −i’s strategies α−i
∗ (i.e., she has no profitable deviation).

To deepen our understanding of mixed-strategy Nash equilibrium, we consider an example

that is slightly more complicated than the matching-pennies game.

Example 2. Penalty kicks in soccer involve two players: Kicker (K) and Goalkeeper (G). As
shots by soccer professionals are fast, we assume that K and G must move simultaneously.
Since it is rare to kick at the middle of the goal, we assume that K kicks either to the left
(L) or to the right (R). We also assume that G defends either the left side (L) or the right
side (R). That is, their action spaces are AK = AG = {L, R}. At action profile a = (aK , aG ),
K’s payoff is probability π(a) that K makes a goal and G’s payoff is probability 1 − π(a) that
G saves.3 To specify the payoffs, we can use the real data of professional soccer games. For
example, we estimate the goal probability π(L, R) as the likelihood of the goal when K kicks
3
This kind of game is called a zero-sum game since the sum of players’ payoffs is zero: uK (a) + uG (a) = 0
for every a.

3
 pG
1 BRG

0.4199 BRK
NE

O 0.3854 1 pK

Figure 1: best-response correspondences in the penalty kick game

to the left and G defends the right:

#goals that K plays L and G plays R

π(L, R) = .
#penalty kicks that K plays L and G plays R

The payoffs are summarized in Table 2.

K\G L R
L 58.30, 41.70 94.97, 5.03
R 92.92, 7.08 69.92, 30.08

Table 2: Palacios-Huerta’s (2003) penalty kick game

This game has a unique Nash equilibrium. Since player i has two actions, we define his
mixed strategy by choosing probability pi of playing L. To find the Nash equilibrium, we find
K’s best response. Given probability pG that G plays L, K’s best response BRK is such that:4
&
'
'
'
' {1} if pG < 0.4199
(
BRK (pG ) = [0, 1] if pG = 0.4199
'
'
'
'
){0} if pG > 0.4199.

Similarly, we find G’s best response BRG . The two players’ best responses are illustrated in
Figure 1. The Nash equilibrium is, by Definition 5, the intersection of the two best responses.
We summarize the Nash equilibrium in Table 3 (row 1).
4 835
Here “0.4199” is an approximation of 1989
.

4
 aG = L aG = R aK = L aK = R
theory 0.4199 0.5801 0.3854 0.6146
data 0.4231 0.5769 0.3998 0.6002

Table 3: Nash equilibrium versus data

In Table 3, we compare the Nash equilibrium (row 1) with the real data of soccer professionals’
play (row 2). The Nash equilibrium prediction fits the data well!5,6 □

Coffee Break . Many studies examine and compare how people play a game in the field and
in the laboratory. Interestingly, many of them suggest that the field play is often different from
the laboratory play. For example, Walker & Wooders (2001) study the field play by tennis
professionals, while Chiappori et al. (2002) soccer professionals.7 More recent studies compare
professionals’ play in the field and their play in the laboratory (e.g., Palacios-Huerta & Volij,
2008; Levitt et al., 2010; Wooders, 2010). □

Property of Mixed-Strategy Nash Equilibrium In Figure 1, the Nash equilibrium is where

(i) the graph of BRK is horizontal and (ii) the graph of BRG is vertical. This means that K
is indifferent between L and R if pG = 0.4199 and that G is indifferent between L and R if
pK = 0.3854. This is not a coincidence but rather a general phenomenon:

In a Nash equilibrium, each player is indifferent between all her actions that are played
with non-zero probabilities.

Here is a formal statement.

Proposition 1. In a normal-form game G, let α∗ be a mixed-strategy Nash equilibrium. Then,

for all ai , a′i ∈ Ai such that αi∗ (ai ), αi∗ (a′i ) > 0,
* + * + * +
ui αi∗ , α−i
∗
= ui ai , α−i
∗
= ui a′i , α−i
∗
.

Proof. Suppose, by contradiction, that there exist ai , a′i ∈ Ai such that αi∗ (ai ), αi∗ (a′i ) > 0 but
ui (ai , α−i
∗ ) > u (a′ , α∗ ). Then, player i would increase her payoff by increasing the probability
i i −i
of playing ai . This contradicts the assumption that αi∗ is a best response to α−i
∗ . "

This property is useful in computing a Nash equilibrium.

Example 3. We compute the Nash equilibrium, using Proposition 1. Let pG be the probability
that G plays aG = L. K’s payoff from playing aK = L is 58.30pG + 94.97(1 − pG ), while K’s
5
This result is robust regardless of whether a player is right- or left-footed. In general, a right-footed kicker
will find it easier to kick to his left than his right, and vice versa for a left-footed kicker.
6
Palacios-Huerta (2022) reports that Maradona’s play is consistent with the Nash equilibrium prediction,
using the data of his penalty kicks during his lifetime professional career.
7
These results are also robust regardless of whether a player is right-handed/footed or left-handed/footed.

5
payoff from playing aK = R is 92.92pG + 69.92(1 − pG ). By Proposition 1, it must be that at
the Nash equilibrium,

58.30pG + 94.97(1 − pG ) = 92.92pG + 69.92(1 − pG ).

This equation yields pG = 0.4199, which coincides with the above result. Similarly, we can
compute the probability pK that K plays aK = L. □

Remark 4. You may be puzzled by the aspect of mixed-strategy Nash equilibria that each
player is indifferent between all actions to which he assigns non-zero probabilities, but he
randomizes them in order to make other players indifferent. In Example 2, G randomizes his
actions to make K indifferent between L and R, while K randomizes his actions to make G
indifferent between L and R. This puzzle is justified by Harsanyi’s Purification Theorem. See
also the discussion in Osborne & Rubinstein (1994, Section 3.2). □

3 Nash’s Existence Theorem

There does not necessarily exist a pure-strategy Nash equilibrium (Example 1), but Nash
(1950) proves that there exists a mixed-strategy Nash equilibrium in a large class of games.

Definition 8. A normal-form game G = 〈I, (Ai , ui )i 〉 is finite if I is finite and Ai is finite for
each i ∈ I, and is infinite otherwise.

For example, the games of Examples 1 and 2 are finite, while the Cournot game and
Bertrand game, covered in the previous notes, are infinite.

Theorem 1 (Nash’s Existence Theorem). Every finite normal-form game G has a mixed-
strategy Nash equilibrium.

Proof. Let BR : A → 2A be a correspondence such that for each α ∈ A, BR(α) = (BRi (α−i ))i .
In this view, we obtain a fixed-point interpretation of mixed-strategy Nash equilibrium:

α∗ is a Nash equilibrium ⇐⇒ α∗ is a fixed point of BR: α∗ ∈ BR(α∗ ).

This proof is reduced to the existence of a fixed point of BR. To this end, it suffices to show
that BR satisfies all the conditions for Kakutani’s Fixed-Point Theorem 2 for BR. We show
them one by one:
1. Ai is non-empty, compact, and convex.
2. BRi is non-empty-valued.
Since ui is continuous in αi and Ai is compact, it follows that for any α−i , BRi (α−i ) ≡
argmaxαi ui (αi , ) is non-empty.

6
 Box (Kakutani’s Fixed-Point Theorem):

Definition 9. Let X, Y ⊂ Rn be the sets for n ∈ N. Let F : X → 2Y be a correspondence.

1. F is non-empty-valued if for each x ∈ X, F (x) is non-empty.
2. F is convex-valued if for each x ∈ X, F (x) is convex.
3. F has a closed graph if Gr(F ) is a closed set in X × Y (in the relative topology),
where Gr(F ) is called the graph of F defined by

Gr(F ) = {(x, y) ∈ X × Y : y ∈ F (x)}.

Theorem 2 (Kakutani’s Fixed-Point Theorem). Let X ⊂ Rn be a non-empty, compact,

convex subset. Let F : X → 2X be a non-empty-valued, convex-valued correspondence with
a closed graph. Then, there exists some x∗ ∈ X such that x∗ ∈ F (x∗ ).

Remark 5. If F is a (single-valued) function, then the closed graph property is equivalent

to F being continuous. In this sense, the closed graph property is a natural extension of
the continuity (of functions) to correspondences. □

Remark 6. The closed graph property is, in general, not equivalent to upper hemiconti-
nuity. However, these are equivalent if Y is compact and F is closed-valued. □

3. BRi is convex-valued.
Fix any α−i ∈ A−i , and take any αi , αi′ ∈ BRi (α−i ). By Proposition 1, all ai ∈ supp(αi )
and all a′i ∈ supp(αi′ ) give the same payoff: ui (ai , α−i ) = ui (a′i , α−i ).8 Hence, player i is
indifferent to any randomization over supp(αi ) ∪ supp(αi′ ).
4. BRi has a closed graph.
Let {(αk , α̂k )}k ⊂ Gr(BR) be a sequence such that limk αk = α∗ and limk α̂k = α̂∗ . For
each k ∈ N,

ui (α̂ik , α−i
k
) ≥ ui (αi′ , α−i
k
), ∀αi′ ∈ Ai .

Hence,

ui (α̂i∗ , α−i
∗
) = lim ui (α̂ik , α−i
k
) ≥ lim ui (αi′ , α−i
k
) = ui (αi′ , α−i
∗
), ∀αi′ ∈ Ai . "
k→∞ k→∞

4 Generalization of Nash’s Existence Theorem

Nash’s Existence Theorem 1 is a cornerstone in game theory: We can analyze any social or
economic problems that we can model as finite games, using Nash equilibria. That being said,
many interesting games are infinite games (e.g., the Cournot games), to which Theorem 1 is
inapplicable. This calls for another existence theorem for infinite games.

8
For a finite set X, the support of a distribution µ ∈ ∆(X) is the set, supp(µ) = {x ∈ X : µ(x) > 0}.

7
Theorem 3. Suppose that a finite-player normal-form game G = 〈I, (Ai , ui )i 〉 is such that:
1. Ai is a compact convex subset of a Euclidean space for each i ∈ I.
2. ui is continuous for each i ∈ I.
3. ui is quasi-concave in ai for each i ∈ I.
Then, game G has a pure-strategy Nash equilibrium.

Remark 7. Theorem 3 is a generalization of Nash’s Existence Theorem 1. To see this, we

consider any finite normal-form game G′ = 〈I ′ , (A′i , u′i )i 〉, and we will apply Theorem 3 for
its mixed extension G ′ = 〈I ′ , (A′i , u′i )i 〉. We show the conditions of Theorem 3: (i) A′i is a
compact convex subset of a Euclidean space, (ii) u′i : A′ → R is continuous in α′ , and (iii)
u′i : A′ → R is linear in αi′ and thus is quasi-concave in αi′ . Hence, game G ′ has a pure-strategy
Nash equilibrium, where we note that any pure strategy in game G ′ is a mixed strategy in
game G. □

Example 4. Theorem 3 guarantees that the following Cournot game G = 〈I, (Ai , πi )i∈I 〉 has
a pure-strategy Nash equilibrium:
1. I = {1, 2} is the set of firms.
2. Ai = R+ is the set of firm i’s strategies.
3. πi : A → R is firm i’s payoff function defined by

πi (qi , q−i ) = max{1 − (qi + q−i ), 0}qi .

We cannot apply Theorem 3 to this game as is, because Ai is not compact. However, we can
avoid this issue by considering the following modified game G′ = 〈I, (A′i , πi′ )i∈I 〉:
1. I = {1, 2} is the set of firms.
2. A′i = [0, 1] is the set of firm i’s strategies.
3. πi′ : A′ → R is firm i’s payoff function (with the set A′ = A′1 × A′2 ) defined by

πi′ (qi , q−i ) = max{1 − (qi + q−i ), 0}qi .

This game satisfies all the conditions for Theorem 3, and thus we have a pure-strategy Nash
equilibrium q ∗ = (q1∗ , q2∗ ) ∈ A′ .
What we want to prove is that game G has a pure-strategy Nash equilibrium. To show this,
it suffices to show that this Nash equilibrium q ∗ (in game G′ ) remains to be a Nash equilibrium
in game G. To see this, consider firm i’s deviation to any qi > 1.9 This deviation yields profit
0 (since qi + q−i
∗ > 1 and thus the price is zero), whereas strategy q ∗ gives profit π (q ∗ ) ≥ 0.
i i
Since this deviation is never profitable, we can say that game G has the pure-strategy Nash
equilibrium q ∗ . □

As the proof technique illustrated above is useful, we give a high-level overview:

9
We focus our attention to a deviation to a pure strategy.

8
 To show that a game G = 〈I, (Ai , ui )i 〉 has a Nash equilibrium with property #, the
following approach may be useful:
1. Consider a “restricted” game G# = 〈I, (A# #
i , ui )i 〉 such that:
• A#
i is a subset of player i’s strategies that satisfy property #.
!
• u# # #
i : A → R is the restricted payoff function, with domain A =
#
i Ai .
2. Show that game G# has a Nash equilibrium a# ∈ A# (which satisfies property #).
• The existence is established possibly by applying a fixed-point theorem.
3. Show that player i has no profitable deviation in the set Ai , given strategies a#
−i .
• This step shows that a# is a Nash equilibrium in the original game G.

Role of Quasi-Concavity Quasi-concavity is necessary to Theorem 3. That is, without quasi-

concavity, we cannot guarantee, in general, the existence of pure-strategy Nash equilibrium.
Even in such a case, we can still guarantee the existence of mixed-strategy Nash equilibrium:

Corollary 1. Suppose that a finite-player normal-form game G = 〈I, (Ai , ui )i 〉 is such that:
1. Ai is a compact convex subset of a Euclidean space for each i ∈ I.10
2. ui is continuous for each i ∈ I.
Then, game G has a mixed-strategy Nash equilibrium.

Role of Continuity Continuity is a fundamental requirement for Theorem 3. It is difficult, in

general, to guarantee the existence of pure- or mixed- strategy Nash equilibrium in a normal-
form game with discontinuous payoff functions. Unfortunately the class of such games occupies
a central position in many applications. Most notably, the Bertrand games with homogenous
products have discontinuous payoff functions because a firm’s payoff changes discontinuously
according to whether its price is above, equal, or below the competitors’ prices.

References
Chiappori, P.-A., Levitt, S., & Groseclose, T. (2002). Testing mixed-strategy equilibria when
players are heterogeneous: The case of penalty kicks in soccer. American Economic Review,
92 (4), 1138–1151.

Levitt, S. D., List, J. A., & Reiley, D. H. (2010). What happens in the field stays in the field:
Exploring whether professionals play minimax in laboratory experiments. Econometrica,
78 (4), 1413–1434.

Nash, J. F. (1950). Equilibrium points in n-person games. Proceedings of the National Academy
of Sciences, 36 (1), 48–49.

Osborne, M. J., & Rubinstein, A. (1994). A course in game theory. MIT Press.
10
A subset of a Euclidean space is compact if and only if it is closed and bounded.

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Palacios-Huerta, I. (2003). Professionals play minimax. Review of Economic Studies, 70 (2),
395–415.

Palacios-Huerta, I. (2022). Maradona plays minimax. Sports Economics Review (forthcoming).

Palacios-Huerta, I., & Volij, O. (2008). Experientia docet: Professionals play minimax in
laboratory experiments. Econometrica, 76 (1), 71–115.

Walker, M., & Wooders, J. (2001). Minimax play at Wimbledon. American Economic Review,
91 (5), 1521–1538.

Wooders, J. (2010). Does experience teach? Professionals and minimax play in the lab.
Econometrica, 78 (3), 1143–1154.

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