An Approach to Stochastic Dynamic Games with Asymmetric Information and Hidden Actions

Yi Ouyang (), Hamidreza Tavafoghi () and Demosthenis Teneketzis ()
Additional contact information
Yi Ouyang: Preferred Networks America, Inc.
Hamidreza Tavafoghi: Google
Demosthenis Teneketzis: University of Michigan

Dynamic Games and Applications, 2025, vol. 15, issue 1, No 8, 182-215

Abstract: Abstract We consider in discrete time, a general class of sequential stochastic dynamic games with asymmetric information with the following features. The underlying system has Markovian dynamics controlled by the agents’ joint actions. Each agent’s instantaneous utility depends on the current system state and the agents’ joint actions. At each time instant each agent makes a private noisy observation of the current system state and the agents’ actions in the previous time instant. In addition, at each time instant all agents have a common noisy observation of the current system state and their actions in the previous time instant. Each agent’s actions are part of his private information. The objective is to determine Bayesian Nash Equilibrium (BNE) strategy profiles that are based on a compressed version of the agents’ information and can be sequentially computed. We present an approach/methodology that achieves the above-stated objective. We show by example that, according to the methodology proposed in the paper, BNE strategy profiles with the above characteristics do not exist in general. We also present an instance of a game where BNE strategy profiles with the above features exist. We show that the methodology also works for the case where the agents have no common observations.

Keywords: Dynamic games; Asymmetric information; Hidden actions; Common information; Information compression; Sequential decomposition (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s13235-024-00558-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:dyngam:v:15:y:2025:i:1:d:10.1007_s13235-024-00558-7

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/13235

DOI: 10.1007/s13235-024-00558-7

Access Statistics for this article

Dynamic Games and Applications is currently edited by Georges Zaccour

More articles in Dynamic Games and Applications from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().