The Role of Information in Repeated Games With Frequent Actions
AbstractWe show that in repeated interactions the avenues for effective provision of incentives depend crucially on the type of information players observe. We establish this conclusion for general repeated two-player games in which information arrives via a continuous-time stationary process that has a continuous multidimensional Brownian component and a Poisson component, and in which the players act frequently. The Poisson jumps can be used to effectively provide incentives both with transfers and value burning, while continuous Brownian information can be used to provide incentives only with transfers. Copyright 2010 The Econometric Society.
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Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 78 (2010)
Issue (Month): 3 (05)
Other versions of this item:
- Yuliy Sannikov & Andrzej Skrzypacz, 2006. "The role of information in repeated games with frequent actions," 2006 Meeting Papers 871, Society for Economic Dynamics.
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
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