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Evaluating information in zero-sum games with incomplete information on both sides

Author

Listed:
  • Bernard de Meyer

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Ehud Lehrer

    (TAU - School of Mathematical Sciences [Tel Aviv] - TAU - Raymond and Beverly Sackler Faculty of Exact Sciences [Tel Aviv] - TAU - Tel Aviv University)

  • Dinah Rosenberg

    (LAGA - Laboratoire Analyse, Géométrie et Applications - UP8 - Université Paris 8 Vincennes-Saint-Denis - UP13 - Université Paris 13 - Institut Galilée - CNRS - Centre National de la Recherche Scientifique)

Abstract

In a Bayesian game some players might receive a noisy signal regarding the specific game actually being played before it starts. We study zero-sum games where each player receives a partial information about his own type and no information about that of the other player and analyze the impact the signals have on the payoffs. It turns out that the functions that evaluate the value of information share two property. The first is Blackwell monotonicity, which means that each player gains from knowing more. The second is concavity on the space of conditional probabilities.

Suggested Citation

  • Bernard de Meyer & Ehud Lehrer & Dinah Rosenberg, 2009. "Evaluating information in zero-sum games with incomplete information on both sides," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390625, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00390625
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00390625
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    Cited by:

    1. Adam Kalai & Ehud Kalai, 2011. "Cooperation in Strategic Games Revisited," Discussion Papers 1512, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. Mark Whitmeyer, 2020. "In Simple Communication Games, When Does Ex Ante Fact-Finding Benefit the Receiver?," Papers 2001.09387, arXiv.org.
    3. Yanling Chang & Alan Erera & Chelsea White, 2015. "Value of information for a leader–follower partially observed Markov game," Annals of Operations Research, Springer, vol. 235(1), pages 129-153, December.
    4. Fabien Gensbittel & Marcin Peski & Jérôme Renault, 2019. "The Large Space Of Information Structures," Working Papers hal-02075905, HAL.
    5. De Meyer, Bernard, 2010. "Price dynamics on a stock market with asymmetric information," Games and Economic Behavior, Elsevier, vol. 69(1), pages 42-71, May.
    6. Fabien Gensbittel, 2015. "Extensions of the Cav( u ) Theorem for Repeated Games with Incomplete Information on One Side," Mathematics of Operations Research, INFORMS, vol. 40(1), pages 80-104, February.

    More about this item

    Keywords

    Value of information; Blackwell monotonicity; concavity; Valeur de l'information; monotonie à la Blackwell; concavité;
    All these keywords.

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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