We assume that an impatient decision maker (DM) runs variable-size experiments at an increasing, strictly convex cost before choosing an irreversible action. We introduce and solve a tractable continuous time version of this problem - a control of variance of a diffusion with uncertain mean....

We assume that an impatient decision maker (DM) runs variable-size experiments at an increasing, strictly convex cost before choosing an irreversible action. We introduce and solve a tractable continuous time version of this problem --- a control of variance of a diffusion with uncertain mean....

We show that far from capturing a formally new phenomenon, informational herding is really a special case of single-person experimentation ­ and 'bad herds' the typical failure of complete learning. We then analyze the analogous team equilibrium, where individuals maximize the present...