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

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

Domains: Economy and decision science

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