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Sequential Equilibria with Infinite Histories

Christopher Phelan () and Andrzej Skrzypacz
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Christopher Phelan: Federal Reserve Bank of Minneapolis

No 484, 2006 Meeting Papers from Society for Economic Dynamics

Abstract: A fundamental non-stationarity of infinitely repeated games as usually studied is that the length of the history of play gets longer each period. With private actions (and mixed strategies) or private signals, this introduces a particular difficulty with common solution concepts such as sequential equilibria: At the beginning of the game, each player knows every other player's continuation strategy (which is simply his strategy), but this is no longer true after the game begins. When continuation strategies are functions of privately observed variables, each player is now uncertain regarding the continuation strategy of the other players. This study considers infinitely repeated games with mixed strategies, and private and public signals where the game is assumed to have been going on forever. We introduce a new solution concept: Stationary Nash Equilibrium with Infinite Histories. An equilibrium is a joint mixed strategy $\pi$ mapping infinite histories of private actions, and public and private signals to action probabilities, along with a probability measure $\mu$ by which infinite histories are drawn such that strategies are mutual best responses and the probability measure over infinite histories $\mu$ replicates itself given $\pi$.

Keywords: repeated games; private monitoring (search for similar items in EconPapers)
JEL-codes: C72 C73 D82 (search for similar items in EconPapers)
Date: 2006-12-03
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed006:484

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