Continuous-time persuasion by filtering

Aïd, René, Bonesini, Ofelia ORCID: 0000-0001-9294-6079, Callegaro, Giorgia and Campi, Luciano (2025) Continuous-time persuasion by filtering. Journal of Economic Dynamics and Control. ISSN 0165-1889 (In Press)

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Abstract

We frame dynamic persuasion in a partial observation stochastic control Leader-Follower game with an ergodic criterion. The Receiver controls the dynamics of a multidimensional unobserved state process. Information is provided to the Receiver through a device designed by the Sender that generates the observation process. The commitment of the Sender is enforced. We develop this approach in the case where all dynamics are linear and the preferences of the Receiver are linear-quadratic. We prove a verification theorem for the existence and uniqueness of the solution of the HJB equation satisfied by the Receiver's value function. An extension to the case of persuasion of a mean field of interacting Receivers is also provided. We illustrate this approach in two applications: the provision of information to electricity consumers with a smart meter designed by an electricity producer; the information provided by carbon footprint accounting rules to companies engaged in a best-in-class emissions reduction effort. In the first application, we link the benefits of information provision to the mispricing of electricity production. In the latter, we show that even in the absence of information cost, it might be optimal for the regulator to blur information available to firms to prevent them from coordinating on a higher level of carbon footprint to reduce their cost of reaching a below average emission target.

Item Type:	Article
Additional Information:	© 2025 The Author(s)
Divisions:	Mathematics
Subjects:	Q Science > QA Mathematics
JEL classification:	C - Mathematical and Quantitative Methods > C6 - Mathematical Methods and Programming > C61 - Optimization Techniques; Programming Models; Dynamic Analysis C - Mathematical and Quantitative Methods > C7 - Game Theory and Bargaining Theory > C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D82 - Asymmetric and Private Information D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D83 - Search; Learning; Information and Knowledge; Communication; Belief Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q5 - Environmental Economics > Q51 - Valuation of Environmental Effects
Date Deposited:	11 Apr 2025 15:51
Last Modified:	14 Apr 2025 09:48
URI:	http://eprints.lse.ac.uk/id/eprint/127889

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