Reputation in continuous-time games with multiple commitment types

We study a continuous-time game with imperfect monitoring in which a large player faces a continuum of infinitely-lived small players. We extend Faingold and Sannikov (2011) to a framework in which the support of the prior belief of the small players contains any finite number of commitment types. In this setting, we show the existence of a unique Markov equilibrium, we characterize a partial differential equation (PDE) for the equilibrium payoff, and we derive an optimality condition for the equilibrium actions. Also, we provide a stochastic representation of the Markov equilibrium payoffs, which is the solution to the PDE. Finally, we show that the equilibrium action of the sufficiently patient large player follows a non-stationary process that is determined by the small players’ posterior beliefs.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2017

Author dc:creator

• Ryu, Seokjong

Contributors dc:contributor

• Williams, Steven R.
• Cho, In-Koo
• Perry, Martin K.
• Lemus, Jorge

• Reputation
• Continuous-time games
• Multiple commitment types

Statement dc:rights

• Copyright 2017 Seokjong Ryu

Language dc:language

en

Handle dc:identifier

http://hdl.handle.net/2142/97706

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/97706