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Informationally optimal correlation

Olivier Gossner 1, 2, 3 Rida Laraki 4 Tristan Tomala 5
1 PJSE - Paris-Jourdan Sciences Economiques
2 MEDS, Northwestern University
3 PSE - Paris School of Economics
4 X-DEP-ECO - Département d'Économie de l'École Polytechnique
5 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
Abstract : This papers studies an optimization problem under entropy constraints arising from repeated games with signals. We provide general properties of solutions and a full characterization of optimal solutions for 2 × 2 sets of actions. As an application we compute the minmax values of some repeated games with signals.
Keywords : Correlation Entropy Repeated games
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Journal articles
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https://hal-hec.archives-ouvertes.fr/hal-00485282
Contributor : Antoine Haldemann <>
Submitted on : Thursday, May 20, 2010 - 2:13:14 PM
Last modification on : Tuesday, September 22, 2020 - 3:58:26 AM

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ENS-PARIS | CNRS | EHESS | CEREMADE | PJSE | ENPC | HEC | PARISTECH | X | PSE | UNIV-DAUPHINE | PSE-POST-PRINT | PSL

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Olivier Gossner, Rida Laraki, Tristan Tomala. Informationally optimal correlation. Mathematical Programming B, Springer, 2009, Vol.116,n°1-2, pp.147-172. ⟨10.1007/s10107-007-0129-1⟩. ⟨hal-00485282⟩

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