Worst-case Regret in Ambiguous Dynamic Games

Rumen Kostadinov

Department of Economics Working Papers from McMaster University

Abstract: I study a general model where agents play an unknown sequence of games. They are fully informed of the game they are currently playing but have no probabilistic beliefs about future games. I introduce a notion of equilibrium where players minimise their regret from forgoing an alternative strategy under the worst-case sequence of future games, taking as given the strategies of other players. I derive a recursive characterisation of equilibrium outcomes for fixed discounting, as well as a folk theorem. I demonstrate the tractability of the characterisation in applications to risk-sharing and partnership games.

Keywords: dynamic games; repeated games; regret minimization (search for similar items in EconPapers)
JEL-codes: C73 D81 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2023-02
New Economics Papers: this item is included in nep-gth and nep-mic
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Persistent link: https://EconPapers.repec.org/RePEc:mcm:deptwp:2022-08

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