working Paper
On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time
published
Mathias
Staudigl
author 26057873
Jan-Henrik
Steg
author 182054
10053
department
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.
https://pub.uni-bielefeld.de/download/2698781/2902680/IMW_working_paper_525.pdf
application/x-downloadno
Center for Mathematical Economics2014
eng
Continuous-time game theoryStochastic optimal controlWeak convergence
0931-6558urn:nbn:de:0070-pub-26987814
52539
Staudigl, M., & Steg, J.-H., 2014. <em>On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time</em>, Center for Mathematical Economics Working Papers, no.525, Bielefeld: Center for Mathematical Economics.
<div style="text-indent:-25px; padding-left:25px;padding-bottom:0px;">Staudigl, Mathias, and Steg, Jan-Henrik. 2014. <em>On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time</em>. Vol. 525. Center for Mathematical Economics Working Papers. Bielefeld: Center for Mathematical Economics.</div>
Staudigl, M.; Steg, J. - H. (2014): On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time. Bielefeld: Center for Mathematical Economics.
Staudigl, Mathias, and Steg, Jan-Henrik. <em>On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time</em>. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 525.
M. Staudigl and J.-H. Steg, <em>On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time</em>, Center for Mathematical Economics Working Papers, vol. 525, Bielefeld: Center for Mathematical Economics, 2014.
<div style="text-indent:-25px; padding-left:25px;padding-bottom:0px;">Staudigl, M. & Steg, J.-H. (2014). <em>On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time</em> (Center for Mathematical Economics Working Papers). Bielefeld: Center for Mathematical Economics.</div>
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 M, Steg J-H (2014) <br /><em>On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time</em>. Center for Mathematical Economics Working Papers; 525.<br />Bielefeld: Center for Mathematical Economics.
Staudigl M, Steg J-H (2014) Center for Mathematical Economics Working Papers; 525.<br />Bielefeld: Center for Mathematical Economics.
Staudigl M, Steg J-H. <em>On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time</em>. Center for Mathematical Economics Working Papers. Vol 525. Bielefeld: Center for Mathematical Economics; 2014.
Staudigl, M., & Steg, J. - H. (2014). <em>On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time</em> (Center for Mathematical Economics Working Papers, 525). Bielefeld: Center for Mathematical Economics.
M. Staudigl, and J. - H. Steg, <em>On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time</em>, Center For Mathematical Economics, Bielefeld, <strong>2014</strong>.
Staudigl, M., and Steg, J. - H. (2014). On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time. <em>Center for Mathematical Economics Working Papers</em>, 525, Bielefeld: Center for Mathematical Economics.
<div style="text-indent:-25px; padding-left:25px;padding-bottom:0px;">Staudigl, M., & Steg, J. - H. (2014). <em>On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time</em> (Center for Mathematical Economics Working Papers, 525). Bielefeld: Center for Mathematical Economics.</div>
26987812014-10-07T12:14:58Z2018-07-24T13:01:38Z