Value of Persistent Information

• 成果类型: Article
• 署名作者: Peski, Marcin; Toikka, Juuso
• 署名单位: University of Toronto; Massachusetts Institute of Technology (MIT)
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA14330
• 发表日期: 2017
• 页码: 1921-1948
• 关键词: ONE SIDE; incomplete information; repeated games

摘要

We develop a theory of how the value of an agent's information advantage depends on the persistence of information. We focus on strategic situations with strict conflict of interest, formalized as stochastic zero-sum games where only one of the players observes the state that evolves according to a Markov operator. Operator Q is said to be better for the informed player than operator P if the value of the game under Q is higher than under P regardless of the stage game. We show that this defines a convex partial order on the space of ergodic Markov operators. Our main result is a full characterization of this partial order, intepretable as an ordinal notion of persistence relevant for games. The analysis relies on a novel characterization of the value of a stochastic game with incomplete information.