| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15859 |
| DP15859 Optimal Transport of Information | |
| Semyon Malamud; Anna Cieslak; Paul Schrimpf | |
| 发表日期 | 2021-02-28 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We study the general problem of Bayesian persuasion (optimal information design) with continuous actions and continuous state space in arbitrary dimensions. First, we show that with a finite signal space, the optimal information design is always given by a partition. Second, we take the limit of an infinite signal space and characterize the solution in terms of a Monge-Kantorovich optimal transport problem with an endogenous information transport cost. We use our novel approach to: 1. Derive necessary and sufficient conditions for optimality based on Bregman divergences for non-convex functions. 2. Compute exact bounds for the Hausdorff dimension of the support of an optimal policy. 3. Derive a non-linear, second-order partial differential equation whose solutions correspond to regular optimal policies. We illustrate the power of our approach by providing explicit solutions to several non-linear, multidimensional Bayesian persuasion problems. |
| 主题 | Financial Economics |
| 关键词 | Bayesian persuasion Information design Signalling |
| URL | https://cepr.org/publications/dp15859-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544852 |
| 推荐引用方式 GB/T 7714 | Semyon Malamud,Anna Cieslak,Paul Schrimpf. DP15859 Optimal Transport of Information. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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