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On Repeated games with imperfect public monitoring: Characterization of Continuation payoff processes

Author

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  • Staudigl, Mathias

    (Center for Mathematical Economics, Bielefeld University)

Abstract

This note contains complementary information to the paper Staudigl and Steg (2014). We present a martingale characterization of continuation payoff processes in a class of repeated games with imperfect public monitoring. Our martingale approach allows us to work out a clear connection between the discrete time and continuous time payoff processes. A general proof of convergence is the open issue in this literature, and I strongly belief that the characterization result reported here is the key to solve this problem.

Suggested Citation

  • Staudigl, Mathias, 2016. "On Repeated games with imperfect public monitoring: Characterization of Continuation payoff processes," Center for Mathematical Economics Working Papers 526, Center for Mathematical Economics, Bielefeld University.
    • Handle: RePEc:bie:wpaper:526
    as

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    File URL: https://pub.uni-bielefeld.de/download/2901671/2902681
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    References listed on IDEAS

    as
    1. Yuliy Sannikov, 2007. "Games with Imperfectly Observable Actions in Continuous Time," Econometrica, Econometric Society, vol. 75(5), pages 1285-1329, September.
    2. Staudigl, Mathias & Steg, Jan-Henrik, 2014. "On Repeated Games with Imperfect Public Monitoring: From Discrete to Continuous Time," Center for Mathematical Economics Working Papers 525, Center for Mathematical Economics, Bielefeld University.
    3. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Repeated games; Public Perfect Equilibrium; Martingale Representation;
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