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Strongly Symmetric Equilibria in Bandit Games

Author

Listed:
  • Sven Rady

    (University of Bonn)

  • Nicolas Klein

    (University of Montreal)

  • Johannes Horner

    (Yale University)

Abstract

This paper studies strongly symmetric equilibria (SSE) in continuous-time games of strategic experimentation with Poisson bandits. SSE payoffs can be studied via two functional equations similar to the HJB equation used for Markov equilibria that they generalize. This is valuable for three reasons. First, these equations retain the tractability of Markov equilibrium, while allowing for punishments and rewards: the best and worst equilibrium payoff are explicitly solved for. Second, they capture behavior of the discrete-time game: as period length goes to zero, the SSE payoff set converges to their solution. Third, they encompass a large payoff set: there is no perfect Bayesian equilibrium in the discrete-time game with frequent interactions achieving higher efficiency.

Suggested Citation

  • Sven Rady & Nicolas Klein & Johannes Horner, 2013. "Strongly Symmetric Equilibria in Bandit Games," 2013 Meeting Papers 1107, Society for Economic Dynamics.
    • Handle: RePEc:red:sed013:1107
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    References listed on IDEAS

    as
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    Cited by:

    1. Svetlana Boyarchenko, 2020. "Super- and submodularity of stopping games with random observations," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(4), pages 983-1022, November.
    2. Heidhues, Paul & Rady, Sven & Strack, Philipp, 2015. "Strategic experimentation with private payoffs," Journal of Economic Theory, Elsevier, vol. 159(PA), pages 531-551.
    3. Klein, Nicolas, 2013. "Strategic learning in teams," Games and Economic Behavior, Elsevier, vol. 82(C), pages 636-657.
    4. Boyarchenko, Svetlana, 2021. "Inefficiency of sponsored research," Journal of Mathematical Economics, Elsevier, vol. 95(C).
    5. Johannes Hoelzemann & Nicolas Klein, 2021. "Bandits in the lab," Quantitative Economics, Econometric Society, vol. 12(3), pages 1021-1051, July.

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    More about this item

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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