In a game with incomplete information players receive stochastic signals about the state of nature. The distribution of the signals given the state of nature is determined by the information structure. Different information structures may induce different equilibria.

We study how to regulate a monopolistic firm using a robust-design, non-Bayesian approach. We derive a policy that minimizes the regulator's worst-case regret, where regret is the difference between the regulator's complete-information payoff and his realized payoff. When the regulator's payoff...