An impossibility theorem on beliefs in games

Abstract

A paradox of self-reference in beliefs in games is identified, which yields a game-Theoretic impossibility theorem akin to Russell's Paradox. An informal version of the paradox is that the following configuration of beliefs is impossible: Ann believes that Bob assumes that Ann believes that Bob's assumption is wrong This is formalized to show that any belief model of a certain kind must have a "hole."An interpretation of the result is that if the analyst's tools are available to the players in a game, then there are statements that the players can think about but cannot assume. Connections are made to some questions in the foundations of game theory.