The Value of a Stochastic Information Structure

Posted: 24 Jun 2008

See all articles by Yaron Azrieli

Yaron Azrieli

Ohio State University (OSU) - Economics

Ehud Lehrer

Tel Aviv University - School of Mathematical Sciences

Abstract

Upon observing a signal, a Bayesian decision maker updates her probability distribution over the state space, chooses an action, and receives a payoff that depends on the state and the action taken. An information structure determines the set of possible signals and the probability of each signal given a state. For afixed decision problem, the value of an information structure is the maximal expected utility that the decision maker can get when the observed signals are governed by this structure. Thus, every decision problem induces a preference order over information structures according to their value. We characterize preference orders that can be obtained in this way. We also characterize the functions defined over information structures that measure their value.

Keywords: Information structures, Bayesian decision making

JEL Classification: D80, D81, D84

Suggested Citation

Azrieli, Yaron and Lehrer, Ehud, The Value of a Stochastic Information Structure. Games and Economic Behavior, Vol. 63, No. 2, 2008, Available at SSRN: https://ssrn.com/abstract=1148183

Yaron Azrieli (Contact Author)

Ohio State University (OSU) - Economics ( email )

Columbus, OH 43210-1172
United States

Ehud Lehrer

Tel Aviv University - School of Mathematical Sciences ( email )

Tel Aviv 69978
Israel

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
448
PlumX Metrics