The role of information in repeated games with frequent actions
AbstractWe show that the ways incentives can be provided during dynamic interaction depend very crucially on the manner in which players learn information. This conclusion is established in a general stationary environment with noisy public monitoring and frequent actions. The monitoring process can be represented by a sum of a multi-dimensional Brownian component and a jump process. We show that jumps can be used to provide incentives both with transfers and value burning while continuous information can be used to provide incentives only with transfers. Also, it is asymptotically optimal to use the cumulative realization of the Brownian component linearly. Additionally, we approximate the equilibrium payoff set for fixed small discount rates as the periods become short by a series of linear programming problems. These problems highlight how the two types of information can be used to provide incentives.
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.
Bibliographic InfoPaper provided by Society for Economic Dynamics in its series 2006 Meeting Papers with number 871.
Date of creation: 03 Dec 2006
Date of revision:
Contact details of provider:
Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Web page: http://www.EconomicDynamics.org/society.htm
More information through EDIRC
repeated games; dynamic incentives; frequent moves;
Other versions of this item:
- Yuliy Sannikov & Andrzej Skrzypacz, 2010. "The Role of Information in Repeated Games With Frequent Actions," Econometrica, Econometric Society, vol. 78(3), pages 847-882, 05.
- 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
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Henri Pages & Dylan Possamaï, 2014.
"A mathematical treatment of bank monitoring incentives,"
Finance and Stochastics,
Springer, vol. 18(1), pages 39-73, January.
- Henri Pag\`es & Dylan Possamai, 2012. "A mathematical treatment of bank monitoring incentives," Papers 1202.2076, arXiv.org.
- Pagès, H. & Possamai, D., 2012. "A mathematical treatment of bank monitoring incentives," Working papers 378, Banque de France.
- Fudenberg, Drew & Levine, David, 2007.
"Continuous Time Limits of Repeated Games with Imperfect Public Monitoring,"
3196334, Harvard University Department of Economics.
- Drew Fudenberg & David Levine, 2007. "Continuous Time Limits of Repeated Games with Imperfect Public Monitoring," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(2), pages 173-192, April.
- Drew Fudenberg & David K Levine, 2007. "Continuous Time Limits of Repeated Games with Imperfect Public Monitoring," Levine's Working Paper Archive 699152000000000028, David K. Levine.
- 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.
- 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.
- Fudenberg, Drew & Levine, David, 2009.
"Repeated Games with Frequent Signals,"
3160491, Harvard University Department of Economics.
- Fudenberg, Drew & Olszewski, Wojciech, 2011. "Repeated games with asynchronous monitoring of an imperfect signal," Games and Economic Behavior, Elsevier, vol. 72(1), pages 86-99, May.
- Mathias Staudigl, 2013. "A limit theorem for Markov decision processes," Working Papers 475, Bielefeld University, Center for Mathematical Economics.
- Christian Bayer & Klaus Waelde, 2011.
"Describing the Dynamics of Distributions in Search and Matching Models by Fokker-Planck Equations,"
1110, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 21 Jul 2011.
- 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.
- Kobayashi, Hajime & Ohta, Katsunori, 2012. "Optimal collusion under imperfect monitoring in multimarket contact," Games and Economic Behavior, Elsevier, vol. 76(2), pages 636-647.
- Osório-Costa, António M., 2009. "Frequent Monitoring in Repeated Games under Brownian Uncertainty," MPRA Paper 13104, University Library of Munich, Germany.
- Biais, Bruno & Mariotti, Thomas & Rochet, Jean-Charles & Villeneuve, Stéphane, 2007.
"Large Risks, Limited Liability and Dynamic Moral Hazard,"
IDEI Working Papers
472, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2009.
- Bruno Biais & Thomas Mariotti & Jean-Charles Rochet & StÈphane Villeneuve, 2010. "Large Risks, Limited Liability, and Dynamic Moral Hazard," Econometrica, Econometric Society, vol. 78(1), pages 73-118, 01.
- 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. "Efficiency Gains in Repeated Games at Random Moments in Time," MPRA Paper 13105, University Library of Munich, Germany.
- Roman, Mihai Daniel, 2010. "A game theoretic approach of war with financial influences," MPRA Paper 38389, University Library of Munich, Germany.
- Hartman-Glaser, Barney & Piskorski, Tomasz & Tchistyi, Alexei, 2012. "Optimal securitization with moral hazard," Journal of Financial Economics, Elsevier, vol. 104(1), pages 186-202.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).
If references are entirely missing, you can add them using this form.