Dynamic consistency in incomplete information games with multiple priors

Marieke Pahlke

Games and Economic Behavior, 2022, vol. 133, issue C, 85-108

Abstract: This paper explores multi-stage incomplete information games with common ambiguous information about states or types and ambiguity averse players. We characterize a belief formation process that allows players to take their knowledge about the structure of the game into account. This process leads to subjective rectangular ex-ante belief sets for all players. We show that given these sets of beliefs, players behave dynamically consistent. Therefore, using our belief formation process, we can extend the concept of sequential equilibria to multi-stage ambiguous incomplete information games. Furthermore, we characterize assumption under which sequential rationality implies rectangularity.

Keywords: Sequential equilibrium; Ambiguity; Dynamic consistency; Multiple priors; Imprecise information (search for similar items in EconPapers)
JEL-codes: C72 C73 D81 D82 D83 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Working Paper: Dynamic Consistency in Incomplete Information Games with Multiple Priors (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:gamebe:v:133:y:2022:i:c:p:85-108

DOI: 10.1016/j.geb.2022.02.004

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