Evaluating Information in Zero-Sum Games with Incomplete Information on Both Sides

Dinah Rosenberg, Bernard de Meyer () and Ehud Lehrer ()
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Dinah Rosenberg: GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique
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

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Abstract: We study zero-sum games with incomplete information and analyze the impact that the information players receive has on the payoffs. It turns out that the functions that measure the value of information share two properties. The first is Blackwell monotonicity, which means that each player gains from knowing more. The second is concavity on the space of conditional probabilities. We prove that any function satisfying these two properties is the value function of a zero-sum game.

Keywords: value-of-information function; zero-sum game; game with incomplete information; Blackwell monotonicity (search for similar items in EconPapers)
Date: 2010-11
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Published in Mathematics of Operations Research, 2010, 35 (4), pp.851-863. ⟨10.1287/moor.1100.0467⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00586037

DOI: 10.1287/moor.1100.0467

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