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Informationally optimal correlation

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Date
2009
Dewey
Probabilités et mathématiques appliquées
Sujet
Correlation; Entropy; Repeated games
Journal issue
Mathematical Programming
Volume
116
Number
1-2
Publication date
01-2009
Article pages
147-172
Publisher
Springer
DOI
http://dx.doi.org/10.1007/s10107-007-0129-1
URI
https://basepub.dauphine.fr/handle/123456789/3979
Collections
  • CEREMADE : Publications
Metadata
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Author
Tomala, Tristan
Laraki, Rida
Gossner, Olivier
Type
Article accepté pour publication ou publié
Abstract (EN)
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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