Common Priors and Markov Chains
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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- Giacomo Bonanno & Klaus Nehring, "undated".
"Fundamental Agreement: A New Foundation For The Harsanyi Doctrine,"
Department of Economics
96-02, California Davis - Department of Economics.
- 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.
- Harsanyi, John C, 1995.
"Games with Incomplete Information,"
American Economic Review,
American Economic Association, vol. 85(3), pages 291-303, June.
- Morris, Stephen, 1994. "Trade with Heterogeneous Prior Beliefs and Asymmetric Information," Econometrica, Econometric Society, vol. 62(6), pages 1327-1347, November.
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