Stochastic Games with Hidden States

Yuichi Yamamoto ()
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Yuichi Yamamoto: Department of Economics, University of Pennsylvania

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: This paper studies infinite-horizon stochastic games in which players observe noisy public information about a hidden state each period. We find that if the game is connected, the limit feasible payoff set exists and is invariant to the initial prior about the state. Building on this invariance result, we provide a recursive characterization of the equilibrium payoff set and establish the folk theorem. We also show that connectedness can be replaced with an even weaker condition, called asymptotic connectedness. Asymptotic connectedness is satisfied for generic signal distributions, if the state evolution is irreducible.

Keywords: stochastic game; hidden state; connectedness; stochastic selfgeneration; folk theorem (search for similar items in EconPapers)
JEL-codes: C72 C73 (search for similar items in EconPapers)
Pages: 78 pages
Date: 2015-01-14
New Economics Papers: this item is included in nep-gth, nep-mic and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pen:papers:15-007

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