Optimal Transport of Information

@article{Malamud2021OptimalTO,
  title={Optimal Transport of Information},
  author={Semyon Malamud and Anna Cieślak and Andreas Schrimpf},
  journal={Capital Markets: Market Efficiency eJournal},
  year={2021}
}
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… 
1 Citations
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