Rationality and the definition of consistent pairs

Abstract

A consistent pair specifies a set of “rational” strategies for both players such that a strategy is rational if and only if it is a best reply to a Bayesian belief that gives positive probability to every rational strategy of the opponent and probability zero otherwise. Although the idea underlying consistent pairs is quite intuitive, the original definition suffers from non-existence problems. In this article, we propose an alternative formalization of consistent pairs. According to our definition, a strategy is “rational” if and only if it is a best reply to some lexicographic probability system that satisfies certain consistency conditions. These conditions imply in particular that a player's probability system gives infinitely more weight to rational strategies than to other strategies. We show that modified consistent pairs exist for every game.