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Informationally optimal correlation

Gossner, Olivier, Laraki, Rida and Tomala, Tristan (2009) Informationally optimal correlation. Mathematical Programming, Series B, 116 (1-2). pp. 147-172. ISSN 0025-5610

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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.

Item Type: Article
Official URL: http://www.springerlink.com/content/103081/
Additional Information: © 2007 Springer-Verlag
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Sets: Departments > Mathematics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 30 Mar 2010 14:03
URL: http://eprints.lse.ac.uk/27628/

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