Markovian Persuasion

In the classical Bayesian persuasion model an informed player and an uninformed one engage in a static interaction. Here, we consider a dynamic Bayesian persuasion situation where the state of nature evolves according to a Markovian law. In this repeated persuasion model an optimal disclosure strategy of the sender should, at any period, balance between obtaining a high stage payoff and disclosing information which may have negative implications on future payoffs. We discuss optimal strategies under different discount factors and characterize when the asymptotic value achieves the maximal value possible.

Joint work with Ehud Lehrer