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Iterated Expectations, Compact Spaces, and Common Priors

  • Ziv Hellman

Extending to infinite state spaces that are compact metric spaces a result previously attained by D. Samet solely in the context of finite state spaces, a necessary and suficient condition for the existence of a common prior for several players is given in terms of the players' present beliefs only. A common prior exists if and only if for each random variable it is common knowledge that all Cesaro means of iterated expectations with respect to any permutation converge to the same value; this value is its expectation with respect to the common prior. It is further shown that compactness is a necessary condition for some of the results.

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Paper provided by The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem in its series Discussion Paper Series with number dp522.

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Length: 16 pages
Date of creation: Oct 2009
Date of revision:
Publication status: Published in Games and Economic Behavior, 72 (2011) 163 – 171.
Handle: RePEc:huj:dispap:dp522
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  1. Samet, Dov, 2000. "Quantified Beliefs and Believed Quantities," Journal of Economic Theory, Elsevier, vol. 95(2), pages 169-185, December.
  2. Heifetz, Aviad, 2006. "The positive foundation of the common prior assumption," Games and Economic Behavior, Elsevier, vol. 56(1), pages 105-120, July.
  3. Paul Milgrom & Nancy L.Stokey, 1979. "Information, Trade, and Common Knowledge," Discussion Papers 377R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  4. Morris, Stephen, 1994. "Trade with Heterogeneous Prior Beliefs and Asymmetric Information," Econometrica, Econometric Society, vol. 62(6), pages 1327-47, November.
  5. Giacomo Bonanno & Klaus Nehring, 1999. "How to make sense of the common prior assumption under incomplete information," International Journal of Game Theory, Springer, vol. 28(3), pages 409-434.
  6. Feinberg, Yossi, 2000. "Characterizing Common Priors in the Form of Posteriors," Journal of Economic Theory, Elsevier, vol. 91(2), pages 127-179, April.
  7. Dov Samet, 1997. "Common Priors and Separation of Convex Sets," Game Theory and Information 9701002, EconWPA.
  8. Robert J. Aumann, 1998. "Common Priors: A Reply to Gul," Econometrica, Econometric Society, vol. 66(4), pages 929-938, July.
  9. Samet, Dov, 1998. "Iterated Expectations and Common Priors," Games and Economic Behavior, Elsevier, vol. 24(1-2), pages 131-141, July.
  10. Nehring, Klaus, 2004. "The veil of public ignorance," Journal of Economic Theory, Elsevier, vol. 119(2), pages 247-270, December.
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