Existence of Bayesian Equilibria in Incomplete Information Games without Common Priors

Denis Kojevnikov and Kyungchul Song

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Abstract: This paper focuses on finite-player incomplete information games where players may hold mutually inconsistent beliefs without a common prior. We introduce absolute continuity of beliefs, extending the classical notion of absolute continuity of information in Milgrom and Weber (1985), and prove that Bayesian equilibria exist in a broad class of games, including those with discontinuous payoffs. Examples illustrate the scope and implications of our findings.

Date: 2025-04, Revised 2026-06
New Economics Papers: this item is included in nep-gth and nep-mic
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