On repeated games with imperfect public monitoring: From discrete to continuous time

Mathias Staudigl, Jan-Henrik Steg

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

Motivated by recent path-breaking contributions in the theory of repeated games in continuous time, this paper presents a family of discrete-time games which provides a consistent discrete-time approximation of the continuous-time limit game. Using probabilistic arguments, we prove that continuous-time games can be defined as the limit of a sequence of discrete-time games. Our convergence analysis reveals various intricacies of continuous-time games. First, we demonstrate the importance of correlated strategies in continuous-time. Second, we attach a precise meaning to the statement that a sequence of discrete-time games can be used to approximate a continuous-time game.
Original languageEnglish
Pages (from-to)1-23
Number of pages23
JournalJournal of Dynamics and Games
Volume4
Issue number1
DOIs
Publication statusPublished - Jan 2017

Keywords

  • Continuous-time game theory
  • perfect-public equilibrium
  • weak convergence
  • PRINCIPAL-AGENT PROBLEM
  • STOCHASTIC GAMES
  • FOLK THEOREM
  • INFORMATION
  • APPROXIMATIONS
  • LIMIT

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