Tail probabilities for triangular arrays
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CitationFudenberg, Drew, and David K. Levine. 2013. Tail Probabilities for Triangular Arrays. Journal of Dynamics and Games 1(1): 45–56. doi:10.3934/jdg.2014.1.45
AbstractDi erent discrete time triangular arrays representing a noisy signal of players' activities can lead to the same limiting di usion process yet
lead to di erent limit equilibria. Whether the limit equilibria are equilibria of the limiting continuous time game depends on the limit properties of test statistics for whether a player has deviated. We provide an estimate of the tail probabilities along these arrays that allows us to determine the asymptotic behavior of the best test and thus of the best equilibrium.
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