Informationally optimal correlation

Olivier Gossner, Rida Laraki () and Tristan Tomala
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Olivier Gossner: PJSE - Paris-Jourdan Sciences Economiques - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique, MEDS, Northwestern University - Northwestern University [Evanston], PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Rida Laraki: X-DEP-ECO - Département d'Économie de l'École Polytechnique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris

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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 (search for similar items in EconPapers)
Date: 2009-01
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Citations: View citations in EconPapers (1)

Published in Mathematical Programming, 2009, Vol.116,n°1-2, pp.147-172. ⟨10.1007/s10107-007-0129-1⟩

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Related works:
Working Paper: Informationally optimal correlation (2009)
Working Paper: Informationally optimal correlation (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:pseptp:hal-00485282

DOI: 10.1007/s10107-007-0129-1

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