TY - GEN
T1 - On the structure of equilibrium strategies in dynamic Gaussian signaling games
AU - Sayin, Muhammed O.
AU - Akyol, Emrah
AU - Basar, Tamer
N1 - Publisher Copyright:
© 2016 IEEE.
PY - 2016/10/10
Y1 - 2016/10/10
N2 - This paper analyzes a finite horizon dynamic signaling game motivated by the well-known strategic information transmission problems in economics. The mathematical model involves information transmission between two agents, a sender who observes two Gaussian processes, state and bias, and a receiver who takes an action based on the received message from the sender. The players incur quadratic instantaneous costs as functions of the state, bias and action variables. Our particular focus is on the Stackelberg equilibrium, which corresponds to information disclosure and Bayesian persuasion problems in economics. Prior work solved the static game, and showed that the Stackelberg equilibrium is achieved by pure strategies that are linear functions of the state and the bias variables. The main focus of this work is on the dynamic (multi-stage) setting, where we show that the existence of a pure strategy Stackelberg equilibrium, within the set of linear strategies, depends on the problem parameters. Surprisingly, for most problem parameters, a pure linear strategy does not achieve the Stackelberg equilibrium which implies the existence of a trade-off between exploiting and revealing information, which was also encountered in several other asymmetric information games.
AB - This paper analyzes a finite horizon dynamic signaling game motivated by the well-known strategic information transmission problems in economics. The mathematical model involves information transmission between two agents, a sender who observes two Gaussian processes, state and bias, and a receiver who takes an action based on the received message from the sender. The players incur quadratic instantaneous costs as functions of the state, bias and action variables. Our particular focus is on the Stackelberg equilibrium, which corresponds to information disclosure and Bayesian persuasion problems in economics. Prior work solved the static game, and showed that the Stackelberg equilibrium is achieved by pure strategies that are linear functions of the state and the bias variables. The main focus of this work is on the dynamic (multi-stage) setting, where we show that the existence of a pure strategy Stackelberg equilibrium, within the set of linear strategies, depends on the problem parameters. Surprisingly, for most problem parameters, a pure linear strategy does not achieve the Stackelberg equilibrium which implies the existence of a trade-off between exploiting and revealing information, which was also encountered in several other asymmetric information games.
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U2 - 10.1109/CCA.2016.7587908
DO - 10.1109/CCA.2016.7587908
M3 - Conference contribution
AN - SCOPUS:84994246298
T3 - 2016 IEEE Conference on Control Applications, CCA 2016
SP - 749
EP - 754
BT - 2016 IEEE Conference on Control Applications, CCA 2016
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2016 IEEE Conference on Control Applications, CCA 2016
Y2 - 19 September 2016 through 22 September 2016
ER -