Quarterly Journal of Economics Vol. 124 No. 1 2009
Repeated Games with Frequent Signals*
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.
- DOI
- 10.1162/qjec.2009.124.1.233
- Volume
- 124
- Issue
- 1
- Pages
- 233-265
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref