Reputation in continuous-time games with multiple commitment types

Ryu, Seokjong

Permalink

https://hdl.handle.net/2142/97706 Copy

Description

Title

Reputation in continuous-time games with multiple commitment types

Author(s)

Ryu, Seokjong

Issue Date

2017-04-17

Director of Research (if dissertation) or Advisor (if thesis)

• Williams, Steven R.
• Cho, In-Koo

Doctoral Committee Chair(s)

Williams, Steven R.

Committee Member(s)

• Perry, Martin K.
• Lemus, Jorge

Department of Study

Economics

Discipline

Economics

Degree Granting Institution

University of Illinois at Urbana-Champaign

Degree Name

Ph.D.

Degree Level

Dissertation

Keyword(s)

• Reputation
• Continuous-time games
• Multiple commitment types

Abstract

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.

Graduation Semester

2017-05

Type of Resource

text

Permalink

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

Copyright and License Information

Copyright 2017 Seokjong Ryu

Owning Collections