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Worst-case Regret in Ambiguous Dynamic Games

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  • Rumen Kostadinov

Abstract

I study a general model where agents play an unknown sequence of games. They are fully informed of the game they are currently playing but have no probabilistic beliefs about future games. I introduce a notion of equilibrium where players minimise their regret from forgoing an alternative strategy under the worst-case sequence of future games, taking as given the strategies of other players. I derive a recursive characterisation of equilibrium outcomes for fixed discounting, as well as a folk theorem. I demonstrate the tractability of the characterisation in applications to risk-sharing and partnership games.

Suggested Citation

  • Rumen Kostadinov, 2023. "Worst-case Regret in Ambiguous Dynamic Games," Department of Economics Working Papers 2022-08, McMaster University.
    • Handle: RePEc:mcm:deptwp:2022-08
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    File URL: http://socialsciences.mcmaster.ca/econ/rsrch/papers/archive/2022-08-02.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    dynamic games; repeated games; regret minimization;
    All these keywords.

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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