Arbeitspapier
On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time
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.
- Language
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Englisch
- Bibliographic citation
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Series: Center for Mathematical Economics Working Papers ; No. 525
- Classification
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Wirtschaft
- Subject
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continuous-time game theory
stochastic optimal control
weak convergence
- Event
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Geistige Schöpfung
- (who)
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Staudigl, Mathias
Steg, Jan-Henrik
- Event
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Veröffentlichung
- (who)
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Bielefeld University, Center for Mathematical Economics (IMW)
- (where)
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Bielefeld
- (when)
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2014
- Handle
- Last update
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10.03.2025, 11:47 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Staudigl, Mathias
- Steg, Jan-Henrik
- Bielefeld University, Center for Mathematical Economics (IMW)
Time of origin
- 2014
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