Continuity of the value and optimal strategies when common priors change

Abstract

We show that the value of a zero-sum Bayesian game is a Lipschitz continuous function of the players’ common prior belief with respect to the total variation metric on beliefs. This is unlike the case of general Bayesian games where lower semi-continuity of Bayesian equilibrium (BE) payoffs rests on the “almost uniform” convergence of conditional beliefs. We also show upper semi-continuity (USC) and approximate lower semi-continuity (ALSC) of the optimal strategy correspondence, and discuss ALSC of the BE correspondence in the context of zero-sum games. In particular, the interim BE correspondence is shown to be ALSC for some classes of information structures with highly non-uniform convergence of beliefs, that would not give rise to ALSC of BE in non-zero-sum games.