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Conditional expectation of correspondences and economic applications

Author

Listed:
  • Wei He

    (The Chinese University of Hong Kong)

  • Yeneng Sun

    (National University of Singapore)

Abstract

We characterize the properties of convexity, compactness and preservation of upper hemicontinuity for conditional expectation of correspondences via the condition of “nowhere equivalence,” and hence extend the classical results on integration of correspondences. To illustrate the economic applications of those properties, we present new results on large games, abstract economies with asymmetric information and stochastic games.

Suggested Citation

  • Wei He & Yeneng Sun, 2018. "Conditional expectation of correspondences and economic applications," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(2), pages 265-299, August.
    • Handle: RePEc:spr:joecth:v:66:y:2018:i:2:d:10.1007_s00199-017-1067-7
    DOI: 10.1007/s00199-017-1067-7
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    References listed on IDEAS

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    Cited by:

    1. Wu, Bin, 2022. "On pure-strategy Nash equilibria in large games," Games and Economic Behavior, Elsevier, vol. 132(C), pages 305-315.
    2. He, Wei & Sun, Yeneng, 2022. "Conditional expectation of Banach valued correspondences and economic applications," Journal of Mathematical Economics, Elsevier, vol. 101(C).
    3. Anna Jaśkiewicz & Andrzej S. Nowak, 2021. "Markov decision processes with quasi-hyperbolic discounting," Finance and Stochastics, Springer, vol. 25(2), pages 189-229, April.
    4. Wu, Bin & Xu, Hanping, 2022. "Pareto-undominated and socially-maximal Nash equilibria with coarser traits," Economics Letters, Elsevier, vol. 215(C).
    5. He, Wei & Sun, Yeneng, 2019. "Pure-strategy equilibria in Bayesian games," Journal of Economic Theory, Elsevier, vol. 180(C), pages 11-49.
    6. Sun, Xiang & Zeng, Yishu, 2020. "Perfect and proper equilibria in large games," Games and Economic Behavior, Elsevier, vol. 119(C), pages 288-308.

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    More about this item

    Keywords

    Conditional expectation; Correspondences; Nowhere equivalence; Convexity; Compactness; Preservation of upper hemicontinuity; Large games; Abstract economies; Stochastic games;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games

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