PUB - Publikationen an der Universität Bielefeld

Recently, the use of Knightian (uncertain) strategies in normal form games has received increasing attention. The use of uncertain acts in games leads to new (Ellsberg) equilibria. We provide a foundation of the new equilibrium concept in the spirit of Harsanyi by proving an extension of the Purification Theorem for 2 x 2 normal form games. Our result implies that Ellsberg equilibria are limits of equilibria in slightly perturbed games with private information. In such equilibria, players use pure or maxmin strategies only.