Repeated Bidding Games with Incomplete Information and Bounded Values: On the Exponential Speed of Convergence

Marina Sandomirskaia

International Game Theory Review (IGTR), 2017, vol. 19, issue 01, 1-7

Abstract: We consider the repeated zero-sum bidding game with incomplete information on one side with non-normalized total payoff. De Meyer and Marino [(2005) Continuous versus discrete market game, Cowles Foundation Discussion Paper 1535] and Domansky and Kreps [(2005) Repeated games with asymmetric information and random price fluctuations at finance markets, Proc. Appl. Ind. Math. 12(4), 950–952 (in Russian)] investigated a game Gn modeling multistage bidding with asymmetrically informed agents and proved that for this game Vn converges to a finite limit V∞, i.e., the error term is O(1). In this paper, we show that for this example Vn converges to the limit exponentially fast. For this purpose we apply the optimal strategy σ∞ of insider in the infinite-stage game obtained by Domansky [(2007) Repeated games with asymmetric information and random price fluctuations at finance markets, Int. J. Game Theor. 36(2), 241–257] to the n-stage game and deduce that it is εn-optimal with εn exponentially small.

Keywords: Repeated game with incomplete information; bidding games; disclosure of inside information; epsilon-optimal strategy; the simple random walk with absorption (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0219198916500171

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