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

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Author Info

  • Bernard De Meyer

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

  • Ehud Lehrer

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

  • Dinah Rosenberg

    ()
    (LAGA - Laboratoire Analyse, Géométrie et Applications - CNRS : UMR7539 - Université Paris 13 - Université Paris VIII - Vincennes Saint-Denis - Institut Galilée - Université Sorbonne Paris Cité (USPC))

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.

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Bibliographic Info

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00390625.

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Date of creation: May 2009
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Handle: RePEc:hal:cesptp:halshs-00390625

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00390625
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Related research

Keywords: Value of information; Blackwell monotonicity; concavity.;

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Cited by:
  1. Adam Kalai & Ehud Kalai, 2011. "Cooperation in Strategic Games Revisited," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1512, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Bernard De Meyer, 2007. "Price Dynamics on a Stock Market with Asymmetric Information," Cowles Foundation Discussion Papers 1604, Cowles Foundation for Research in Economics, Yale University.

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