Evaluating information in zero-sum games with incomplete information on both sides
AbstractIn 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 InfoPaper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number 09035.
Length: 31 pages
Date of creation: May 2009
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Value of information; Blackwell monotonicity; concavity.;
Find related papers by 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, and Information
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-06-17 (All new papers)
- NEP-CTA-2009-06-17 (Contract Theory & Applications)
- NEP-GTH-2009-06-17 (Game Theory)
- NEP-HPE-2009-06-17 (History & Philosophy of Economics)
- NEP-UPT-2009-06-17 (Utility Models & Prospect Theory)
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- Bernard De Meyer, 2007.
"Price Dynamics on a Stock Market with Asymmetric Information,"
321307000000000841, UCLA Department of Economics.
- 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.
- 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.
- Adam Kalai & Ehud Kalai, 2011. "Cooperation in Strategic Games Revisited," Discussion Papers 1512, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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