Repeated Games with Frequent Signals

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Repeated Games with Frequent Signals

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Title: Repeated Games with Frequent Signals
Author: Fudenberg, Drew; Levine, David

Note: Order does not necessarily reflect citation order of authors.

Citation: Fudenberg, Drew, and David K. Levine. 2009. Repeated games with frequent signals. Quarterly Journal of Economics 124, no. 1: 233-265.
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Abstract: We study repeated games with frequent actions and frequent imperfect public signals, where the signals are aggregates of many discrete events, such as sales or tasks. The high-frequency limit of the equilibrium set depends both on the probability law governing the discrete events and on how many events are aggregated into a single signal. When the underlying events have a binomial distribution, the limit equilibria correspond to the equilibria of the associated continuous-time game with diffusion signals, but other event processes that aggregate to a diffusion limit can have a different set of limit equilibria. Thus the continuous-time game need not be a good approximation of the high-frequency limit when the underlying events have three or more possible values.
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