On the existence of pure-strategy equilibria in games with private information: A complete characterization

Abstract

This paper reports a definitive resolution to the question of the existence of a pure-strategy Bayesian–Nash equilibrium in games with a finite number of players, each with a compact metric action set and private information. The resolution hinges on saturated spaces. If the individual spaces of information are saturated, there exists a pure-strategy equilibrium in such a game; and if there exists a pure-strategy equilibrium for the class of games under consideration and with uncountable action sets, the spaces of private information must be saturated. As such, the paper offers a complete characterization of a longstanding question, and offers another game-theoretic characterization of the saturation property, one that complements a recent result of Keisler–Sun (2009) on large non-anonymous games with complete information.