| Article ID: | iaor20108771 |
| Volume: | 35 |
| Issue: | 4 |
| Start Page Number: | 851 |
| End Page Number: | 863 |
| Publication Date: | Nov 2010 |
| Journal: | Mathematics of Operations Research |
| Authors: | Lehrer Ehud, Rosenberg Dinah, De Meyer Bernard |
| Keywords: | information |
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.