Incomplete Information Games with Ambiguity Averse Players∗

We study incomplete information games of perfect recall involving players who perceive ambiguity and may be ambiguity averse. Our focus is on equilibrium concepts satisfying sequential optimality —each player’s strategy must be optimal at each stage given the strategies of the other players and the player’s conditional beliefs. We show that, for the purpose of identifying strategy profiles that are part of a sequential optimum, it is without loss of generality to restrict attention to a particular generalization of Bayesian updating. We examine comparative statics in ambiguity aversion and results and examples on belief robustness and new strategic behavior.