Approximation of Nash equilibria in Bayesian games

We define a new concept of constrained strategic equilibrium (CSE) for Bayesian games. We show that a sequence of CSEs approximates an equilibrium under standard conditions. We also provide an algorithm to implement the CSE approximation method numerically in a broad class of Bayesian games, includi...

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Vydáno v:Journal of applied econometrics (Chichester, England) Ročník 23; číslo 7; s. 965 - 981
Hlavní autoři: Armantier, Olivier, Florens, Jean-Pierre, Richard, Jean-Francois
Médium: Journal Article
Jazyk:angličtina
Vydáno: Chichester, UK John Wiley & Sons, Ltd 01.11.2008
John Wiley & Sons
Wiley-Blackwell
Wiley Periodicals Inc
Témata:
Algorithms
Approximation
Auction theory
Auctions
Bayesian analysis
Differential equations
Econometrics
Economic models
Economic theory
Equilibrium
Expected utility
Game theory
Games
Games of strategy
Mathematical functions
Modeling
Nash equilibrium
Studies
ISSN:0883-7252, 1099-1255
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Shrnutí:We define a new concept of constrained strategic equilibrium (CSE) for Bayesian games. We show that a sequence of CSEs approximates an equilibrium under standard conditions. We also provide an algorithm to implement the CSE approximation method numerically in a broad class of Bayesian games, including games without analytically tractable solutions. Finally, we illustrate the flexibility of the CSE approximation with a series of auction examples, including a complex multi-unit auction.
Bibliografie:ArticleID:JAE1040
National Science Foundation - No. SBR-9601220.
istex:1EBD88A1B2BDED0B1833856FE566A8A22853619A
ark:/67375/WNG-8HXLP9QT-1
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ISSN:0883-7252
1099-1255
DOI:10.1002/jae.1040