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.

Sprache
Englisch

Erschienen in
Series: Center for Mathematical Economics Working Papers ; No. 525

Klassifikation
Wirtschaft
Thema
continuous-time game theory
stochastic optimal control
weak convergence

Ereignis
Geistige Schöpfung
(wer)
Staudigl, Mathias
Steg, Jan-Henrik
Ereignis
Veröffentlichung
(wer)
Bielefeld University, Center for Mathematical Economics (IMW)
(wo)
Bielefeld
(wann)
2014

Handle
Letzte Aktualisierung
10.03.2025, 11:47 MEZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Staudigl, Mathias
  • Steg, Jan-Henrik
  • Bielefeld University, Center for Mathematical Economics (IMW)

Entstanden

  • 2014

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