Knightian games and robustness to ambiguity
This paper introduces a notion of robustness to ambiguous beliefs for Bayesian Nash equilibria. An equilibrium is robust if the corresponding strategies remain approximately optimal for a class of games with ambiguous beliefs that results from an appropriately defined perturbation of the belief structure of the original non-ambiguous belief game. The robustness definition is based on a novel definition of equilibrium for games with ambiguous beliefs that requires equilibrium strategies to be approximate best responses for all measures that define a player's belief. Conditions are derived under which robustness is characterized by a newly defined strategic continuity property, which can be verified without reference to perturbations and corresponding ambiguous belief games.
Year of publication: |
2011
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Authors: | Stauber, Ronald |
Published in: |
Journal of Economic Theory. - Elsevier, ISSN 0022-0531. - Vol. 146.2011, 1, p. 248-274
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Publisher: |
Elsevier |
Keywords: | Bayesian games Knightian uncertainty Ambiguity Robustness |
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