Value of Persistent Information

Abstract

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 ob- serves 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 charac- terization 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.