Existence of Bayesian Equilibria in Incomplete Information Games without Common Priors

Denis Kojevnikov; Kyungchul Song

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arXiv · 2504.16240

Existence of Bayesian Equilibria in Incomplete Information Games without Common Priors

Denis Kojevnikov·Kyungchul Song

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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 absolute continuity of information in Milgrom and Weber (1985), and prove that Bayesian equilibria exist in a broad class of games, including those with discontinuous payoffs. Examples illustrate the scope and implications of our findings.

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Denis Kojevnikov, Kyungchul Song. 2025-04-22. Existence of Bayesian Equilibria in Incomplete Information Games without Common Priors. https://arxiv.org/abs/2504.16240

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