Existence of Bayesian Equilibria in Incomplete Information Games without Common Priors

2025/04/22 by Kojevnikov, Denis, Song, Kyungchul
#91A27 #91A35 #FOS: Economics and business #Theoretical Economics (econ.TH)

paper · doi:10.48550/arxiv.2504.16240

Abstract

This paper focuses on finite-player incomplete information games where players may hold mutually inconsistent beliefs without a common prior. We introduce absolute continuity of beliefs, extending the classical notion of absolutely continuous information in Milgrom and Weber (1985), and prove that Bayesian equilibria exist under broad conditions. Examples illustrate practical applications of our findings.

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