Abstract
We demonstrate that, if there are sufficiently many players, any Bayesian equilibrium of an incomplete information game can be “e-purified” . That is, close to any Bayesian equilibrium there is an approximate Bayesian equilibrium in pure strategies. Our main contribution is obtaining this result for games with a countable set of pure strategies. In order to do so we derive a mathematical result, in the spirit of the Shapley–Folkman Theorem, permitting countable strategy sets. Our main assumption is a “large game property,” dictating that the actions of relatively small subsets of players cannot have large affects on the payoffs of other players.
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