19 Pages Posted: 3 May 2017 Last revised: 9 May 2017
Date Written: May 2, 2017
We formalize the notion of a diffuse prior and show that, for a general class of games, strategies which admit well-defined expected payoffs under the diffuse prior satisfy a stationarity property. We define the diffuse prior through a limit construction, using sequences of well-defined priors that become increasingly dispersed and uniform. Admissible strategies are those for which ex ante payoffs along these sequences converge to a limit that does not depend on the particular sequence of priors. We show that a strategy is admissible if and only if it is almost stationary in a precise sense. A secondary contribution of the paper is a generalization of the concept of distributional strategies (Milgrom and Weber, 1985) to multistage games.
Suggested Citation: Suggested Citation
Ambrus, Attila and Kolb, Aaron, On Defining Ex Ante Payoffs in Games with Diffuse Prior (May 2, 2017). Economic Research Initiatives at Duke (ERID) Working Paper No. 246. Available at SSRN: https://ssrn.com/abstract=2962424 or http://dx.doi.org/10.2139/ssrn.2962424