Overcoming Free-Riding in Bandit Games

• 成果类型: Article
• 署名作者: Horner, Johannes; Klein, Nicolas; Rady, Sven
• 署名单位: Yale University; Centre National de la Recherche Scientifique (CNRS); Centre for Economic Policy Research - UK; Universite de Montreal; Universite de Montreal; University of Bonn
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdab078
• 发表日期: 2022
• 页码: 1948-1992
• 关键词: Strategic experimentation; continuous-time; equilibria

摘要

This article considers a class of experimentation games with Levy bandits encompassing those of Bolton and Harris (1999, Econometrica, 67, 349-374) and Keller, Rady, and Cripps (2005, Econometrica, 73, 39-68). Its main result is that efficient (perfect Bayesian) equilibria exist whenever players' payoffs have a diffusion component. Hence, the trade-offs emphasized in the literature do not rely on the intrinsic nature of bandit models but on the commonly adopted solution concept (Markov perfect equilibrium). This is not an artefact of continuous time: we prove that efficient equilibria arise as limits of equilibria in the discrete-time game. Furthermore, it suffices to relax the solution concept to strongly symmetric equilibrium.