Informationally optimal correlation

Olivier Gossner (1) , Rida Laraki (2) , Tristan Tomala (3)

1 MEDS, Northwestern University
2 X-DEP-ECO - Département d'Économie de l'École Polytechnique
3 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC

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.

Mots clés: Correlation; Entropy; Repeated games

Domaines: Economie et sciences de la décision

Olivier Gossner, Rida Laraki, Tristan Tomala. Informationally optimal correlation. 2004. ⟨hal-00587228⟩