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Repeated games in continuous time as extensive form games

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  • Alós-Ferrer, Carlos
  • Kern, Johannes

Abstract

Extensive form games modeling continuous-time decisions are plagued with problems of nonexistence and nonuniqueness of outcomes. As a “second-best”, the literature has imposed extraneous restrictions on the strategy sets, raising questions on the nature and interpretation of the resulting formal object, and on which restrictions are appropriate. We provide a “first-best” framework, formalizing continuous-time repeated games as extensive form games incorporating natural conditions from the onset. Every strategy profile induces a unique outcome, without any restrictions on the strategy sets. Further, the unrestricted strategy sets are equivalent to a specific class of strategies in a more naïvely specified continuous-time game.

Suggested Citation

  • Alós-Ferrer, Carlos & Kern, Johannes, 2015. "Repeated games in continuous time as extensive form games," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 34-57.
  • Handle: RePEc:eee:mateco:v:61:y:2015:i:c:p:34-57
    DOI: 10.1016/j.jmateco.2015.07.006
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    References listed on IDEAS

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