Games with Imperfectly Observable Actions in Continuous Time
AbstractThis paper investigates a new class of two-player games in continuous time, in which the players' observations of each other's actions are distorted by Brownian motions. These games are analogous to repeated games with imperfect monitoring in which the players take actions frequently. Using a differential equation, we find the set ℰ(r) of payoff pairs achievable by all public perfect equilibria of the continuous-time game, where r is the discount rate. The same differential equation allows us to find public perfect equilibria that achieve any value pair on the boundary of the set ℰ(r). These public perfect equilibria are based on a pair of continuation values as a state variable, which moves along the boundary of ℰ(r) during the course of the game. In order to give players incentives to take actions that are not static best responses, the pair of continuation values is stochastically driven by the players' observations of each other's actions along the boundary of the set ℰ(r). Copyright The Econometric Society 2007.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 75 (2007)
Issue (Month): 5 (09)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Fudenberg, Drew & Ishii, Yuhta & Kominers, Scott Duke, 2014.
"Delayed-response strategies in repeated games with observation lags,"
11880354, Harvard University Department of Economics.
- Fudenberg, Drew & Ishii, Yuhta & Kominers, Scott Duke, 2014. "Delayed-response strategies in repeated games with observation lags," Journal of Economic Theory, Elsevier, vol. 150(C), pages 487-514.
- Drew Fudenberg & Yuhta Ishii & Scott Duke Kominers, 2012. "Delayed-Response Strategies in Repeated Games with Observation Lags," Levine's Working Paper Archive 786969000000000390, David K. Levine.
- Osório Costa, Antonio Miguel, 2011.
"A Folk Theorem for Games when Frequent Monitoring Decreases Noise,"
2072/179667, Universitat Rovira i Virgili, Department of Economics.
- Osório António M., 2012. "A Folk Theorem for Games when Frequent Monitoring Decreases Noise," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 12(1), pages 1-27, April.
- Zhang, Yuzhe, 2009.
"Dynamic Contracting with Persistent Shocks,"
23108, University Library of Munich, Germany.
- Mason, Robin & Välimäki, Juuso, 2008. "Dynamic Moral Hazard and Project Completion," CEPR Discussion Papers 6857, C.E.P.R. Discussion Papers.
- Kyna Fong, 2007. "Evaluating Skilled Experts: Optimal Scoring Rules for Surgeons," Discussion Papers 07-043, Stanford Institute for Economic Policy Research.
- Kobayashi, Hajime & Ohta, Katsunori, 2008. "Multimarket contact in continuous-time games," Economics Letters, Elsevier, vol. 101(1), pages 4-5, October.
- Wälde, Klaus & Bayer, Christian, 2011.
"Describing the Dynamics of Distribution in Search and Matching Models by Fokker-Planck Equations,"
Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis
48736, Verein für Socialpolitik / German Economic Association.
- Christian Bayer & Klaus Waelde, 2011. "Describing the Dynamics of Distributions in Search and Matching Models by Fokker-Planck Equations," Working Papers 1110, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 21 Jul 2011.
- Drew Fudenberg & David K Levine, 2013. "Tail Probabilities for Triangular Arrays," Levine's Working Paper Archive 786969000000000685, David K. Levine.
- Wren-Lewis, Liam, 2013. "Commitment in utility regulation: A model of reputation and policy applications," Journal of Economic Behavior & Organization, Elsevier, vol. 89(C), pages 210-231.
- Hashimoto, Tadashi, 2007.
"A corrigendum to "Games with imperfectly observable actions in continuous time","
5398, University Library of Munich, Germany.
- Tadashi Hashimoto, 2010. "Corrigendum to "Games With Imperfectly Observable Actions in Continuous Time"," Econometrica, Econometric Society, vol. 78(3), pages 1155-1159, 05.
- Osório-Costa, António M., 2009. "Efficiency Gains in Repeated Games at Random Moments in Time," MPRA Paper 13105, University Library of Munich, Germany.
- Chandrasekher, Madhav, 0. "Unraveling in a repeated moral hazard model with multiple agents," Theoretical Economics, Econometric Society.
- Osório Costa, Antonio Miguel, 2011. "Public Monitoring with Uncertainty in the Time Repetitions," Working Papers 2072/179668, Universitat Rovira i Virgili, Department of Economics.
- Takizawa, Shinichiro, 2010. "Private monitoring games and decisions under uncertainty," Economics Letters, Elsevier, vol. 108(3), pages 337-340, September.
- Osório Costa, Antonio Miguel, 2012. "The Limits of Discrete Time Repeated Games:Some Notes and Comments," Working Papers 2072/203171, Universitat Rovira i Virgili, Department of Economics.
- Osório-Costa, António M., 2009. "Frequent Monitoring in Repeated Games under Brownian Uncertainty," MPRA Paper 13104, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.