We investigate the impact of information sharing between rivals in a dynamic auction with asymmetric information. Firms bid in sequential auctions to obtain inputs. Their inventory of inputs, determined by the results of past auctions, are privately known state variables that determine bidding...

There is limited evidence of behavioral changes resulting from electricity information feedback. Using a randomized control trial from a New York apartment building, we study long-term effects of information feedback from "Modlet" in-home devices, which provide near-real-time plug-level...

Digital tracking and the proliferation of automated payments have made intermittent billing more commonplace, and the frequency at which consumers receive price, quantity, or total expenditure signals may distort their choices. This category of goods has expanded from household utilities, toll...

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the...

In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control...

In this work we propose and analyze a model which addresses the pulsing behavior of sellers in an online auction (store). This pulsing behavior is observed when sellers switch between advertising and processing states. We assert that a seller switches her state in order to maximize her profit,...

The literature on the optimal harvest of fisheries has concentrated on a single fishing area with biomass uncertainty and to a lesser degree also with price uncertainty. We develop and implement a stochastic optimal control approach to determine the harvest that maximizes the value of a fishery...

The synthetic control method (SCM) is a popular approach for estimating the impact of a treatment on a single unit in panel data settings. The "synthetic control" is a weighted average of control units that balances the treated unit's pre-treatment outcomes and other covariates as closely as...

Using optimal control theory and a vector autoregressive representation of the relationship between money and interest rates, one can derive a feedback control procedure which defines the best possible tradeoff between interest rate volatility and money supply fluctuations and which could be...

We extend the control function approach of Altonji and Mansfield (2018) to allow for multiple group levels and complementarities. Our analysis provides a foundation for causal interpretation of multilevel mixed effects models in the presence of sorting. In our empirical application, we obtain...