Existence of Bayesian Equilibria in Incomplete Information Games without Common Priors

Abstract

This paper focuses on finite-player incomplete information games where players may hold mutually inconsistent beliefs without a common prior. We introduce absolute continuity of beliefs, extending the classical notion of absolute continuity of information in Milgrom and Weber (1985), and prove that Bayesian equilibria exist in a broad class of games, including those with discontinuous payoffs. Examples illustrate the scope and implications of our findings.