On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time
Staudigl M, Steg J-H (2014) Center for Mathematical Economics Working Papers; 525.
Bielefeld: Center for Mathematical Economics.
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Abstract / Bemerkung
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.
Stichworte
Continuous-time game theory;
Stochastic optimal control;
Weak convergence
Erscheinungsjahr
2014
Serientitel
Center for Mathematical Economics Working Papers
Band
525
Seite(n)
39
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2698781
Zitieren
Staudigl M, Steg J-H. On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time. Center for Mathematical Economics Working Papers. Vol 525. Bielefeld: Center for Mathematical Economics; 2014.
Staudigl, M., & Steg, J. - H. (2014). On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time (Center for Mathematical Economics Working Papers, 525). Bielefeld: Center for Mathematical Economics.
Staudigl, Mathias, and Steg, Jan-Henrik. 2014. On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time. Vol. 525. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.
Staudigl, M., and Steg, J. - H. (2014). On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time. Center for Mathematical Economics Working Papers, 525, Bielefeld: Center for Mathematical Economics.
Staudigl, M., & Steg, J.-H., 2014. On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time, Center for Mathematical Economics Working Papers, no.525, Bielefeld: Center for Mathematical Economics.
M. Staudigl and J.-H. Steg, On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time, Center for Mathematical Economics Working Papers, vol. 525, Bielefeld: Center for Mathematical Economics, 2014.
Staudigl, M., Steg, J.-H.: On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time. Center for Mathematical Economics Working Papers, 525. Center for Mathematical Economics, Bielefeld (2014).
Staudigl, Mathias, and Steg, Jan-Henrik. On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 525.
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