The Role of Information in Repeated Games With Frequent Actions
Yuliy Sannikov, Andrzej Skrzypacz
Econometrica · 2010 · Volume 78 · Issue 3
Abstract
We show that in repeated interactions the avenues for effective provision of incentives depend crucially on the type of information players observe. We establish this conclusion for general repeated two-player games in which information arrives via a continuous-time stationary process that has a continuous multidimensional Brownian component and a Poisson component, and in which the players act frequently. The Poisson jumps can be used to effectively provide incentives both with transfers and value burning, while continuous Brownian information can be used to provide incentives only with transfers.
Keywords
Repeated games, imperfect monitoring, frequent actions, Brownian motion, Poisson process, Levy decomposition
Enable JavaScript for citation tools and additional paper interactions.