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Stochastic Games with Hidden States, Second Version

Author

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  • Yuichi Yamamoto

    (Department of Economics, University of Pennsylvania)

Abstract

This paper studies infinite-horizon stochastic games in which players ob- serve payoffs and noisy public information about a hidden state each period. Public randomization is available. We find that, very generally, the feasible and individually rational payoff set is invariant to the initial prior about the state in the limit as the discount factor goes to one. We also provide a re- cursive characterization of the equilibrium payoff set and establish the folk theorem.

Suggested Citation

  • Yuichi Yamamoto, 2014. "Stochastic Games with Hidden States, Second Version," PIER Working Paper Archive 15-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Jun 2015.
    • Handle: RePEc:pen:papers:15-019
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    References listed on IDEAS

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    1. Johannes Hörner & Satoru Takahashi & Nicolas Vieille, 2015. "Truthful Equilibria in Dynamic Bayesian Games," Econometrica, Econometric Society, vol. 83(5), pages 1795-1848, September.
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    4. Kyle Bagwell & Robert Staiger, 1997. "Collusion Over the Business Cycle," RAND Journal of Economics, The RAND Corporation, vol. 28(1), pages 82-106, Spring.
    5. Drew Fudenberg & David K. Levine, 2008. "Efficiency and Observability with Long-Run and Short-Run Players," World Scientific Book Chapters, in: Drew Fudenberg & David K Levine (ed.), A Long-Run Collaboration On Long-Run Games, chapter 13, pages 275-307, World Scientific Publishing Co. Pte. Ltd..
    6. Rotemberg, Julio J & Saloner, Garth, 1986. "A Supergame-Theoretic Model of Price Wars during Booms," American Economic Review, American Economic Association, vol. 76(3), pages 390-407, June.
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    8. Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 2000. "Blackwell Optimality in Markov Decision Processes with Partial Observation," Discussion Papers 1292, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    9. ,, 2012. "A partial folk theorem for games with private learning," Theoretical Economics, Econometric Society, vol. 7(2), May.
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    11. Drew Fudenberg & Yuichi Yamamoto, 2010. "Repeated Games Where the Payoffs and Monitoring Structure Are Unknown," Econometrica, Econometric Society, vol. 78(5), pages 1673-1710, September.
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    13. Johannes Hörner & Takuo Sugaya & Satoru Takahashi & Nicolas Vieille, 2011. "Recursive Methods in Discounted Stochastic Games: An Algorithm for δ→ 1 and a Folk Theorem," Econometrica, Econometric Society, vol. 79(4), pages 1277-1318, July.
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    Cited by:

    1. Mitsuhiro Nakamura & Hisashi Ohtsuki, 2016. "Optimal Decision Rules in Repeated Games Where Players Infer an Opponent’s Mind via Simplified Belief Calculation," Games, MDPI, vol. 7(3), pages 1-23, July.

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    More about this item

    Keywords

    stochastic game; hidden state; connectedness; stochastic selfgeneration; folk theorem.;
    All these keywords.

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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