Rationalizability in Continuous Games

Abstract

Define a continuous game to be one in which every player's strategy set is a Polish space, and the payoff function of each player is bounded and continuous. We prove that in this class of games the process of sequentially eliminating never-best-reply strategies does not terminate after the first uncountable ordinal, and that this bound is tight. Also, we examine the connection between this process and common belief of rationality in the universal type space of Mertens and Zamir .