On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time

Mathias Staudigl and Jan-Henrik Steg ()
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Mathias Staudigl: Center for Mathematical Economics, Bielefeld University

No 525, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: Motivated by recent path-breaking contributions in the theory of repeated games in continuous time, this paper presents a family of discrete-time games which provides a consistent discrete-time approximation of the continuous-time limit game. Using probabilistic arguments, we prove that continuous-time games can be defined as the limit of a sequence of discrete-time games. Our convergence analysis reveals various intricacies of continuous-time games. First, we demonstrate the importance of correlated strategies in continuous-time. Second, we attach a precise meaning to the statement that a sequence of discrete-time games can be used to approximate a continuous-time game.

Keywords: Continuous-time game theory; Stochastic optimal control; Weak convergence (search for similar items in EconPapers)
Pages: 39
Date: 2014-10-07
New Economics Papers: this item is included in nep-gth, nep-hpe and nep-mic
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Citations: View citations in EconPapers (2)

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https://pub.uni-bielefeld.de/download/2698781/2902680 First Version, 2014 (application/x-download)

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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:525

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