Kuhn's Theorem for Extensive Form Ellsberg Games

33 Pages Posted: 26 Jun 2014 Last revised: 5 Dec 2014

See all articles by Igor Mouraviev

Igor Mouraviev

Bielefeld University - Center for Mathematical Economics

Frank Riedel

Bielefeld University - Center for Mathematical Economics

Linda Sass

Bielefeld University

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Date Written: June 18, 2014

Abstract

The paper generalizes Kuhn's Theorem to extensive form games in which players condition their play on the realization of ambiguous randomization devices and use a maxmin decision rule to evaluate the consequences of their decisions. It proves that ambiguous behavioral and ambiguous mixed strategies are payoff and outcome equivalent only if the latter strategies satisfy a rectangularity condition. The paper also discusses dynamic consistency. In particular, it shows that not only the profile of ambiguous strategies must be appropriately chosen but also the extensive form must satisfy further restrictions beyond those implied by perfect recall in order to ensure that each player respects her ex ante contingent choice with the evolution of play.

Keywords: Kuhn's Theorem, Strategic Ambiguity, Maxmin Utility, Ellsberg Games

JEL Classification: C72, D81

Suggested Citation

Mouraviev, Igor and Riedel, Frank and Sass, Linda, Kuhn's Theorem for Extensive Form Ellsberg Games (June 18, 2014). Institute of Mathematical Economics Working Paper No. 510, Available at SSRN: https://ssrn.com/abstract=2458913 or http://dx.doi.org/10.2139/ssrn.2458913

Igor Mouraviev

Bielefeld University - Center for Mathematical Economics ( email )

Postfach 10 01 31
Bielefeld, D-33501
Germany

Frank Riedel (Contact Author)

Bielefeld University - Center for Mathematical Economics ( email )

Postfach 10 01 31
Bielefeld, D-33501
Germany

Linda Sass

Bielefeld University ( email )

Universitätsstraße 25
Bielefeld, NRW 33613
Germany

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