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Repeated Games with Frequent Signals-super-

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  • Drew Fudenberg

    (Department of Economics, Harvard University)

  • David K. Levine

    (Department of Economics, Washington University in St. Louis)

Abstract

We study repeated games with frequent actions and frequent imperfect public signals, where the signals are aggregates of many discrete events, such as sales or tasks. The high-frequency limit of the equilibrium set depends both on the probability law governing the discrete events and on how many events are aggregated into a single signal. When the underlying events have a binomial distribution, the limit equilibria correspond to the equilibria of the associated continuous-time game with diffusion signals, but other event processes that aggregate to a diffusion limit can have a different set of limit equilibria. Thus the continuous-time game need not be a good approximation of the high-frequency limit when the underlying events have three or more possible values. (c) 2009 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology..

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Bibliographic Info

Article provided by MIT Press in its journal Quarterly Journal of Economics.

Volume (Year): 124 (2009)
Issue (Month): 1 (February)
Pages: 233-265

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Handle: RePEc:tpr:qjecon:v:124:y:2009:i:1:p:233-265

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Cited by:
  1. Kobayashi, Hajime & Ohta, Katsunori, 2012. "Optimal collusion under imperfect monitoring in multimarket contact," Games and Economic Behavior, Elsevier, vol. 76(2), pages 636-647.
  2. Fudenberg, Drew & Ishii, Yuhta & Kominers, Scott Duke, 2014. "Delayed-response strategies in repeated games with observation lags," Scholarly Articles 11880354, Harvard University Department of Economics.
  3. Feigenberg, Benjamin & Field, Erica M. & Pande, Rohini, 2010. "Building Social Capital through Microfinance," Working Paper Series rwp10-019, Harvard University, John F. Kennedy School of Government.
  4. Osório Costa, Antonio Miguel, 2011. "Public Monitoring with Uncertainty in the Time Repetitions," Working Papers 2072/179668, Universitat Rovira i Virgili, Department of Economics.
  5. Drew Fudenberg & David K Levine, 2013. "Tail Probabilities for Triangular Arrays," Levine's Working Paper Archive 786969000000000685, David K. Levine.
  6. Osório Costa, Antonio Miguel, 2011. "A Folk Theorem for Games when Frequent Monitoring Decreases Noise," Working Papers 2072/179667, Universitat Rovira i Virgili, Department of Economics.
  7. 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.
  8. Doraszelski, Ulrich & Escobar, Juan F., 2012. "Restricted feedback in long term relationships," Journal of Economic Theory, Elsevier, vol. 147(1), pages 142-161.

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