Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: May, 2010, Volume 78, Issue 3

The Role of Information in Repeated Games With Frequent Actions
p. 847-882

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.

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Supplement to "The Role of Information in Repeated Games with Frequent Actions"

This file contains proofs for the paper.