RDP 2007-12: Dynamic Pricing and Imperfect Common Knowledge Equation (B6)

\begin{array}{l} P = W (P - P L' {(L P L' + \sum_{ε ε})}^{-}^{1} L P) W' + \sum_{u u} \\ \sum_{ε ε} = [\begin{matrix} σ_{ε}^{2} & 0 & 0 \\ 0 & 0 & 0 \\ 0 & 0 & σ_{y}^{2} \end{matrix}], \sum_{u u} = N [\begin{matrix} σ_{ν}^{2} & 0 & 0 \\ 0 & σ_{η}^{2} & 0 \\ 0 & 0 & σ_{y}^{2} \end{matrix}] N' . \end{array}