The perturbation method is used to approximate optimal experimentation problems. The approximation is in the neighborhood of the linear regulator (LR) problem. The first order perturbation of the optimal decision under experimentation is a combination of the LR solution and a term that captures...

Analytic methods for solving asset pricing models are developed to solve asset pricing models. Campbell and Cochrane's [1999. By force of habit, a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107, 205-251] habit persistence model provides a...