Jumping to Conclusions
Abstract:
This talk presents a continuous-time game of strategic experimentation with two-armed bandits in which payoffs on the risky arm are generated by a compound Poisson process. The distribution of payoff increments depends on an unknown state of the world, whereas the arrival rate of such increments does not. As a consequence, players learn exclusively from the size of the lump-sum payoffs they obtain. Under perfect monitoring, the piecewise constancy of beliefs allows for an analysis of stationary Markov equilibria with essentially discrete-time techniques. In turn, these Markov equilibria constitute perfect Bayesian equilibria when players observe all payoffs, but not each other’s actions. Strongly symmetric equilibria cannot improve on the symmetric Markovian one. Whether asymmetric equilibria can achieve higher payoffs than Markovian equilibria is the focus of ongoing work.
About Prof. Sven Rady:
Prof. Sven Rady is a Professor at the University of Bonn. His research topics include Dynamic Decision Problems, Equilibrium Models and Games, Optimal Learning and Strategic Experimentation and Contracts in Real Estate Markets and their Consequences for Aggregate Fluctuations.
Language: English
This is a free seminar. Registration is mandatory.
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