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Repeated Games with Frequent Signals

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  • Fudenberg, Drew
  • Levine, David

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.

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Bibliographic Info

Paper provided by Harvard University Department of Economics in its series Scholarly Articles with number 3160491.

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Date of creation: 2009
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Publication status: Published in Quarterly Journal of Economics
Handle: RePEc:hrv:faseco:3160491

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  1. Klein, Benjamin & Leffler, Keith B, 1981. "The Role of Market Forces in Assuring Contractual Performance," Journal of Political Economy, University of Chicago Press, vol. 89(4), pages 615-41, August.
  2. Skrzypacz, Andrzej & Sannikov, Yuliy, 2005. "Impossibility of Collusion under Imperfect Monitoring with Flexible Production," Research Papers 1887, Stanford University, Graduate School of Business.
  3. Fudenberg, Drew & Kreps, David M & Maskin, Eric S, 1990. "Repeated Games with Long-run and Short-run Players," Review of Economic Studies, Wiley Blackwell, vol. 57(4), pages 555-73, October.
  4. Jonathan Levin, 2003. "Relational Incentive Contracts," American Economic Review, American Economic Association, vol. 93(3), pages 835-857, June.
  5. Eduardo Faingold & Yuliy Sannikov, 2007. "Equilibrium Degeneracy and Reputation Effects," NajEcon Working Paper Reviews 843644000000000216, www.najecon.org.
  6. David G. Pearce & Dilip Abreu & Paul R. Milgrom, 1988. "Information and Timing in Repeated Partnerships," Cowles Foundation Discussion Papers 875, Cowles Foundation for Research in Economics, Yale University.
  7. Mailath, George J. & Samuelson, Larry, 2006. "Repeated Games and Reputations: Long-Run Relationships," OUP Catalogue, Oxford University Press, number 9780195300796.
  8. Drew Fudenberg & Jean Tirole, 1991. "Game Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061414.
  9. Hellwig, Martin F. & Schmidt, Klaus M., 2002. "Discrete-time approximations of the Holmström-Milgrom brownian-motion model of intertemporal incentive provision," Munich Reprints in Economics 19425, University of Munich, Department of Economics.
  10. Simon, Leo K. & Stinchcombe, Maxwell B., 1987. "Extensive From Games in Continuous Time: Pure Strategies," Department of Economics, Working Paper Series qt03x115sh, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  11. Radner, Roy & Myerson, Roger & Maskin, Eric, 1986. "An Example of a Repeated Partnership Game with Discounting and with Uniformly Inefficient Equilibria," Review of Economic Studies, Wiley Blackwell, vol. 53(1), pages 59-69, January.
  12. Yuliy Sannikov & Andrzej Skrzypacz, 2006. "The role of information in repeated games with frequent actions," 2006 Meeting Papers 871, Society for Economic Dynamics.
  13. Kandori, Michihiro, 1992. "The Use of Information in Repeated Games with Imperfect Monitoring," Review of Economic Studies, Wiley Blackwell, vol. 59(3), pages 581-93, July.
  14. Drew Fudenberg & David K Levine, 2007. "A Large Deviation Theorem for Triangular Arrays," Levine's Working Paper Archive 814577000000000002, David K. Levine.
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Cited by:
  1. Doraszelski, Ulrich & Escobar, Juan F., 2012. "Restricted feedback in long term relationships," Journal of Economic Theory, Elsevier, vol. 147(1), pages 142-161.
  2. 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.
  3. Feigenberg, Benjamin & Field, Erica Marie & Pande, Rohini, 2010. "Building Social Capital Through Microfinance," Scholarly Articles 4449105, Harvard Kennedy School of Government.
  4. Drew Fudenberg & David K Levine, 2013. "Tail Probabilities for Triangular Arrays," Levine's Working Paper Archive 786969000000000685, David K. Levine.
  5. 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.
  6. 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.
  7. Kobayashi, Hajime & Ohta, Katsunori, 2012. "Optimal collusion under imperfect monitoring in multimarket contact," Games and Economic Behavior, Elsevier, vol. 76(2), pages 636-647.
  8. Osório Costa, Antonio Miguel, 2011. "Public Monitoring with Uncertainty in the Time Repetitions," Working Papers 2072/179668, Universitat Rovira i Virgili, Department of Economics.

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