Reputation in continuous-time games with multiple commitment types

Reputation;Continuous-time games;Multiple commitment types

Ryu, Seokjong

关键词: Reputation;    Continuous-time games;    Multiple commitment types;   

Others  :  https://www.ideals.illinois.edu/bitstream/handle/2142/97706/RYU-DISSERTATION-2017.pdf?sequence=1&isAllowed=y

美国|英语

来源: The Illinois Digital Environment for Access to Learning and Scholarship

【 摘 要 】

We study a continuous-time game with imperfect monitoring in which a large player faces a continuum of infinitely-lived small players. We extend Faingold and Sannikov (2011) to a framework in which the support of the prior belief of the small players contains any finite number of commitment types. In this setting, we show the existence of a unique Markov equilibrium, we characterize a partial differential equation (PDE) for the equilibrium payoff, and we derive an optimality condition for the equilibrium actions. Also, we provide a stochastic representation of the Markov equilibrium payoffs, which is the solution to the PDE. Finally, we show that the equilibrium action of the sufficiently patient large player follows a non-stationary process that is determined by the small players’ posterior beliefs.