Value of information in the Polya urn process

Abstract

A series of games based on the Polya urn process is considered. The objective is to develop an understanding of the concept of the value of information in connection to these games. It is rigorously shown that information may have negative, zero or positive incremental value to player for calculating a fair bet. It is also shown that additional information will, in many cases, not effect the betting strategy of the player.