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Informationally optimal correlation

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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.

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Author information

Authors and Affiliations

  1. Paris-Jourdan Sciences Economiques, UMR CNRS-EHESS-ENS-ENPC, 8545, Paris, France

    Olivier Gossner

  2. MEDS, Northwestern University, Evanston, 60208, IL, U.S.A.

    Olivier Gossner

  3. Laboratoire d’Econométrie de l’EcolePolytechnique, CNRS, Paris, France

    Rida Laraki

  4. CEREMADE, Université Paris Dauphine, Paris, France

    Tristan Tomala

Authors
  1. Olivier Gossner
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  2. Rida Laraki
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  3. Tristan Tomala
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Corresponding author

Correspondence to Tristan Tomala.

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Gossner, O., Laraki, R. & Tomala, T. Informationally optimal correlation. Math. Program. 116, 147–172 (2009). https://doi.org/10.1007/s10107-007-0129-1

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  • DOI: https://doi.org/10.1007/s10107-007-0129-1

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