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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.

Suggested Citation

  • Fudenberg, Drew & Levine, David, 2009. "Repeated Games with Frequent Signals," Scholarly Articles 3160491, Harvard University Department of Economics.
  • Handle: RePEc:hrv:faseco:3160491
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    References listed on IDEAS

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    7. Drew Fudenberg & David M. Kreps & Eric S. Maskin, 1990. "Repeated Games with Long-run and Short-run Players," Review of Economic Studies, Oxford University Press, vol. 57(4), pages 555-573.
    8. 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 615-641, August.
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    11. Michihiro Kandori, 1992. "The Use of Information in Repeated Games with Imperfect Monitoring," Review of Economic Studies, Oxford University Press, vol. 59(3), pages 581-593.
    12. Mailath, George J. & Samuelson, Larry, 2006. "Repeated Games and Reputations: Long-Run Relationships," OUP Catalogue, Oxford University Press, number 9780195300796.
    13. 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. Staudigl, Mathias & Steg, Jan-Henrik, 2014. "On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time," Center for Mathematical Economics Working Papers 525, Center for Mathematical Economics, Bielefeld University.
    2. Benjamin Feigenberg & Erica M. Field & Rohini Pande, 2010. "Building Social Capital Through MicroFinance," NBER Working Papers 16018, National Bureau of Economic Research, Inc.
    3. Drew Fudenberg & David K Levine, 2013. "Tail Probabilities for Triangular Arrays," Levine's Working Paper Archive 786969000000000685, David K. Levine.
    4. Steg, Jan-Henrik, 2016. "On preemption in discrete and continuous time," Center for Mathematical Economics Working Papers 556, Center for Mathematical Economics, Bielefeld University.
    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. Doraszelski, Ulrich & Escobar, Juan F., 2012. "Restricted feedback in long term relationships," Journal of Economic Theory, Elsevier, vol. 147(1), pages 142-161.
    7. Fudenberg, Drew & Ishii, Yuhta & Kominers, Scott Duke, 2014. "Delayed-response strategies in repeated games with observation lags," Journal of Economic Theory, Elsevier, vol. 150(C), pages 487-514.
    8. Kobayashi, Hajime & Ohta, Katsunori, 2012. "Optimal collusion under imperfect monitoring in multimarket contact," Games and Economic Behavior, Elsevier, vol. 76(2), pages 636-647.

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