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 absolutely continuous information in Milgrom and Weber (1985), and prove that Bayesian equilibria exist under broad conditions. Examples illustrate practical applications of our findings.

Date: 2025-04, Revised 2025-11
New Economics Papers: this item is included in nep-gth and nep-mic
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