Existence of structured perfect Bayesian equilibrium in dynamic games of asymmetric information
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In [1],authors considered a general finite horizon model of dynamic game of asymmetric information, where N players have types evolving as independent Markovian process, where each player observes its own type perfectly and actions of all players. The authors present a sequential decomposition algorithm to find all structured perfect Bayesian equilibria of the game. The algorithm consists of solving a class of fixed-point of equations for each time t,π_t, whose existence was left as an open question. In this paper, we prove existence of these fixed-point equations for compact metric spaces.
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