Continuous-time games with imperfect and abrupt information
2019/11/22
研討會日期 : 2019-11-22
時間 : 14:30
主講人 : Professor Benjamin Bernard
主持人 : Professor Chih-Chun Yang
地點 : Conference Room B110
演講者簡介 : Professor Bernard received his Ph.D. in Mathematical Finance from the University of Alberta in 2016. He is currently an Assistant Professor at National Taiwan University. His research interests include game theory and its applications to finance; in particular, games on networks, games with asymmetric information, and continuous-time games.
演講摘要 : This paper studies two-player games in continuous time with imperfect public monitoring, where information may arrive both continuously, governed by a Brownian motion, and discontinuously, according to Poisson processes. For this general class of two-player games, we characterize the equilibrium payoff set via a convergent sequence of differential equations whose solutions approximate the boundary. Equilibrium strategies that attain payoff pairs on the efficient frontier are elicitable from the limiting solution. The analysis reveals the drastic influence of abrupt information on the equilibrium payoff set: because the presence of abrupt information enables equilibrium incentives through value burning, the equilibrium payoff set may contain corners and straight line segments outside the set of static Nash payoffs---two features that are precluded in games with a continuous stream of information.
