Related papers: Only Time Will Tell: Credible Dynamic Signaling
A representative researcher has repeated opportunities for empirical research. To process findings, she must impose an "identifying assumption." She conducts research when the assumption is sufficiently plausible (taking into account both…
We characterize mutual information as the unique map on ordered pairs of random variables satisfying a set of axioms similar to those of Faddeev's characterization of the Shannon entropy. There is a new axiom in our characterization however…
This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders, and competitive market makers who…
We consider a dynamic version of sender-receiver games, where the sequence of states follows an irreducible Markov chain observed by the sender. Under mild assumptions, we provide a simple characterization of the limit set of equilibrium…
The classical logit dynamic on a continuous action space for decision-making un-der uncertainty is generalized to the dynamic where the exponential function for the softmax part has been replaced by a rational one that includes the former…
In dynamic settings each economic agent's choices can be revealing of her private information. This elicitation via the rationalization of observable behavior depends each agent's perception of which payoff-relevant contingencies other…
We study the robustness of cheap-talk equilibria to infinitesimal private information of the receiver in a model with a binary state-space and state-independent sender-preferences. We show that the sender-optimal equilibrium is robust if…
Understanding a complex system entails capturing the non-trivial collective phenomena that arise from interactions between its different parts. Information theory is a flexible and robust framework to study such behaviours, with several…
This paper investigates how the discount factor and payoff functions can be identified in stationary infinite-horizon dynamic discrete choice models. In single-agent models, we show that common nonparametric assumptions on per-period…
We study a dynamic stopping game between a principal and an agent. The agent is privately informed about his type. The principal learns about the agent's type from a noisy performance measure, which can be manipulated by the agent via a…
A benevolent advisor observes a project's complexity and posts a pass - fail threshold before the agent chooses effort. The project succeeds only if ability and effort together clear complexity. We compare two informational regimes. In the…
We study the problem of an agent continuously faced with the decision of placing or not placing trust in an institution. The agent makes use of Bayesian learning in order to estimate the institution's true trustworthiness and makes the…
We analyze a continuous time multidimensional opinion model where agents have heterogeneous but symmetric and compactly supported interaction functions. We consider Filippov solutions of the resulting dynamics and show strong Lyapunov…
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…
Recent studies highlight the importance of persistently exciting condition in single signal sequence for model identification and data-driven control methodologies. However, maintaining prolonged excitation in control signals introduces…
Stochastic forces in natural systems are rarely isotropic. From hydrodynamically coupled colloids to chemical reaction networks, noise contributions are inherently correlated. Together with internal interactions and changing environments,…
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions…
We investigate a two-player zero-sum differential game with asymmetric information on the payoff and without Isaacs condition. The dynamics is an ordinary differential equation parametrised by two controls chosen by the players. Each player…
This paper develops a data-driven framework for stabilization of discrete-time infinite-dimensional systems. We investigate informativity for stabilization, defined as the existence of a feedback gain that stabilizes all systems compatible…
We study which outcomes are implementable by disclosing coarse statistics of a data-generating process rather than its full distribution. Players observe data whose joint distribution is only partially known: they know the expectations of…