Gradual Adjustment and Equilibrium Uniqueness under Noisy Monitoring

Material type: 規格・テクニカルリポート類

Author: Iijima, Ryotaほか

Publisher: The Institute of Social and Economic Research, Osaka University

Publication date: 2016-03

Material Format: Paper

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Note (General)：: We study the implications of ﬂexible adjustment in strategic interactions using a class of ﬁnite-horizon models in continuous time. Players take costl...

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Paper

Material Type: 規格・テクニカルリポート類
Title: Gradual Adjustment and Equilibrium Uniqueness under Noisy Monitoring
Author/Editor: Iijima, Ryota
Kasahara, Akitada
Author Heading: Iijima, Ryota
Kasahara, Akitada
https://nrid.nii.ac.jp/nrid/1000050811410
Publication, Distribution, etc.: The Institute of Social and Economic Research, Osaka University
Publication Date: 2016-03
Publication Date (W3CDTF): 2016
Periodical title: Institute of Social and Economic Research Discussion Papers
No. or year of volume/issue: 965
Volume: 965
Pages: 1-54
Subject Heading: continuous-time game
gradual adjustment
equilibrium uniqueness
coordination problem
team production
hold-up problem
contest
Target Audience: 一般
Note (General): We study the implications of ﬂexible adjustment in strategic interactions using a class of ﬁnite-horizon models in continuous time. Players take costly actions to aﬀect the evolution of state variables that are commonly observable and perturbed by Brownian noise. The values of these state variables inﬂuence players’ terminal payoﬀs at the deadline, as well as their ﬂow payoﬀs. In contrast to the static case, the equilibrium is unique under a general class of terminal payoﬀ functions. Our characterization of the equilibrium builds on recent developments in the theory of backward stochastic diﬀerential equations (BSDEs). We use this tool to analyze applications, including team production, hold-up problems, and dynamic contests. In a team production model, the unique equilibrium selects an eﬃcient outcome when frictions vanish.
References (URI): comment:URI
http://www.iser.osaka-u.ac.jp/library/dp/2016/DP0965.pdf
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫　桜華