Games with Imperfectly Observable Actions in Continuous Time
研究一类连续时间双人博弈，其中玩家对彼此行动的观测被布朗运动扭曲，通过微分方程刻画公共完美均衡的可行支付集，并构造边界上的均衡策略。
This paper investigates a new class of two-player games in continuous time, in which the players' observations of each other's actions are distorted by Brownian motions. These games are analogous to repeated games with imperfect monitoring in which the players take actions frequently. Using a differential equation, we find the set ℰ(r) of payoff pairs achievable by all public perfect equilibria of the continuous-time game, where r is the discount rate. The same differential equation allows us to find public perfect equilibria that achieve any value pair on the boundary of the set ℰ(r). These public perfect equilibria are based on a pair of continuation values as a state variable, which moves along the boundary of ℰ(r) during the course of the game. In order to give players incentives to take actions that are not static best responses, the pair of continuation values is stochastically driven by the players' observations of each other's actions along the boundary of the set ℰ(r). Copyright The Econometric Society 2007.