Informationally optimal correlation

O. Gossner, R. Laraki, T. TOMALA

Mathematical Programming

January 2009, vol. 116, n°1/2, pp.147-172

Departments: Economics & Decision Sciences, GREGHEC (CNRS)

Keywords: Correlation, Entropy, Repeated games

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