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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Bibliographic Details
Published in:Journal of applied econometrics (Chichester, England) Vol. 23; no. 7; pp. 965 - 981
Main Authors: Armantier, Olivier, Florens, Jean-Pierre, Richard, Jean-Francois
Format: Journal Article
Language:English
Published: Chichester, UK John Wiley & Sons, Ltd 01.11.2008
John Wiley & Sons
Wiley-Blackwell
Wiley Periodicals Inc
Subjects:
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
Online Access:Get full text
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Summary: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.
Bibliography:ArticleID:JAE1040
National Science Foundation - No. SBR-9601220.
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ISSN:0883-7252
1099-1255
DOI:10.1002/jae.1040