Repeated games in continuous time as extensive form games

Carlos Alós-Ferrer and Johannes Kern

Journal of Mathematical Economics, 2015, vol. 61, issue C, 34-57

Abstract: Extensive form games modeling continuous-time decisions are plagued with problems of nonexistence and nonuniqueness of outcomes. As a “second-best”, the literature has imposed extraneous restrictions on the strategy sets, raising questions on the nature and interpretation of the resulting formal object, and on which restrictions are appropriate. We provide a “first-best” framework, formalizing continuous-time repeated games as extensive form games incorporating natural conditions from the onset. Every strategy profile induces a unique outcome, without any restrictions on the strategy sets. Further, the unrestricted strategy sets are equivalent to a specific class of strategies in a more naïvely specified continuous-time game.

Keywords: Extensive forms; Continuous time; Repeated games (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:61:y:2015:i:c:p:34-57

DOI: 10.1016/j.jmateco.2015.07.006

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