Tail probabilities for triangular arrays

Drew Fudenberg and David Levine

Scholarly Articles from Harvard University Department of Economics

Abstract: Di erent discrete time triangular arrays representing a noisy signal of players' activities can lead to the same limiting di usion process yet lead to di erent limit equilibria. Whether the limit equilibria are equilibria of the limiting continuous time game depends on the limit properties of test statistics for whether a player has deviated. We provide an estimate of the tail probabilities along these arrays that allows us to determine the asymptotic behavior of the best test and thus of the best equilibrium.

Date: 2013
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Published in Journal of Dynamics and Games

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Working Paper: Tail Probabilities for Triangular Arrays (2013)
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