Sequential Correlated Equilibria in Stopping Games
Operations Research, Forthcoming
35 Pages Posted: 10 Jun 2009 Last revised: 30 Sep 2011
Date Written: September 10, 2009
In many situations, such as trade in stock exchanges, agents have many instances to act even though the duration of interactions take a relatively short time. The agents in such situations can often coordinate their actions in advance, but coordination during the game consumes too much time. An equilibrium in such situations has to be sequential in order to handle mistakes made by players. In this paper, we present a new solution concept for infinite-horizon dynamic games, which is appropriate for such situations: a sequential constant-expectation normal-form correlated approximate equilibrium. Under additional assumptions, we show that every such game admits this kind of equilibrium.
Keywords: stochastic games, stopping games, correlated equilibrium, sequential equilibrium, Ramsey Theorem, distribution equilibrium
JEL Classification: C73
Suggested Citation: Suggested Citation