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Common Priors and Markov Chains

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Author Info

  • Dov Samet

    (Faculty of Mnangement Tel Aviv University)

Abstract

The type function of an agent, in a type space, associates with each state a probability distribution on the type space. Thus, a type function can be considered as a Markov chain on the state space. A common prior for the space turns out to be a probability distribution which is invariant under the type functions of all agents. Using the Markovian structure of type spaces we show that a necessary and sufficient condition for the existence of a common prior is that for each random variable it is common knowledge that all its joint averagings converge to the same value.

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File URL: http://128.118.178.162/eps/game/papers/9610/9610008.ps.gz
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Bibliographic Info

Paper provided by EconWPA in its series Game Theory and Information with number 9610008.

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Length: 8 pages
Date of creation: 21 Oct 1996
Date of revision:
Handle: RePEc:wpa:wuwpga:9610008

Note: Type of Document - postscript; prepared on unix; pages: 8
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Web page: http://128.118.178.162

Related research

Keywords: Type spaces; prior; common prior; Markov chain;

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References

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  1. Klaus Nehring & Giacomo Bonanno & Massimiliano Marcellino, 2003. "Fundamental Agreement: A new foundation for the Harsanyi Doctrine," Working Papers 962, University of California, Davis, Department of Economics.
  2. Harsanyi, John C, 1995. "Games with Incomplete Information," American Economic Review, American Economic Association, vol. 85(3), pages 291-303, June.
  3. Morris, Stephen, 1994. "Trade with Heterogeneous Prior Beliefs and Asymmetric Information," Econometrica, Econometric Society, vol. 62(6), pages 1327-47, November.
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Citations

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Cited by:
  1. Matthew O. Jackson & Ehud Kalai & Rann Smorodinsky, 1999. "Bayesian Representation of Stochastic Processes under Learning: de Finetti Revisited," Econometrica, Econometric Society, vol. 67(4), pages 875-894, July.
  2. Matthew O. Jackson & Ehud Kalai & Rann Smorodinsky, 1997. "Patterns, Types, and Bayesian Learning," Discussion Papers 1177, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  3. Dov Samet, 1996. "Looking Backwards, Looking Inwards: Priors and Introspection," Game Theory and Information 9610007, EconWPA.

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