Econometrica: May, 2010, Volume 78, Issue 3
The Role of Information in Repeated Games With Frequent Actions
Yuliy Sannikov, Andrzej Skrzypacz
We show that in repeated interactions the avenues for effective provision of incentives depend crucially on the type of information players observe. We establish this conclusion for general repeated two‐player games in which information arrives via a continuous‐time stationary process that has a continuous multidimensional Brownian component and a Poisson component, and in which the players act frequently. The Poisson jumps can be used to effectively provide incentives both with transfers and value burning, while continuous Brownian information can be used to provide incentives only with transfers.
Supplement to "The Role of Information in Repeated Games with Frequent Actions"
This file contains proofs for the paper.