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Wald Revisited: The Optimal Level of Experimentation

Moscarini, Giuseppe; Smith, Lones - Cowles Foundation for Research in Economics, Yale University - 1998

This paper revisits Wald's (1947) sequential experimentation paradigm, now assuming that an impatient decision maker … irreversible action. We translate this natural discrete time experimentation story into a tractable control of variance for a … continuous time diffusion. Here we robustly characterize the optimal experimentation level: It is rising in the confidence about …

Persistent link: https://www.econbiz.de/10005762616

Dynamic pricing in the presence of individual learning

Weng, Xi - In: Journal of Economic Theory 155 (2015) C, pp. 262-299

This paper studies price dynamics in a setting in which a monopolist sells a new experience good over time to many buyers, and the seller can neither price discriminate among the buyers nor commit to a price rule. Buyers learn from their own experiences about the effectiveness of the product....

Persistent link: https://www.econbiz.de/10011189761

Prolonged learning and hasty stopping : the Wald problem with ambiguity

Auster, Sarah; Che, Yeon-Koo; Mierendorff, Konrad - 2022

This paper studies sequential information acquisition by an ambiguity-averse decision maker (DM), who decides how long to collect information before taking an irreversible action. The agent optimizes against the worst-case belief and updates prior by prior. We show that the consideration of...

Persistent link: https://www.econbiz.de/10013365655

Collaborating

Bonatti, Alessandro; Horner, Johannes - Cowles Foundation for Research in Economics, Yale University - 2009

This paper examines moral hazard in teams over time. Agents are collectively engaged in an uncertain project, and their individual efforts are unobserved. Free-riding leads not only to a reduction in effort, but also to procrastination. The collaboration dwindles over time, but never ceases as...

Persistent link: https://www.econbiz.de/10005000297

Optimal Job Design and Career Dynamics in the Presence of Uncertainty

Pastorino, Elena - Econometric Society - 2004

showing that the equilibria of interest are strategically equivalent to the solution of an experimentation problem (a …

Persistent link: https://www.econbiz.de/10005063711

The (in)appropriate benchmark when beliefs are not the only state variable

Keller, Godfrey - Department of Economics, Oxford University - 2005

In models of learning by experimentation, there is a natural benchmark of myopia when the only intertemporal link is … experimentation, since the payoffs of a passive learner can be markedly lower than those of a naive learner. …

Persistent link: https://www.econbiz.de/10005090686

Career Dynamics Under Uncertainty: Estimating the Value of Firm Experimentation

Pastorino, Elena - Society for Economic Dynamics - SED - 2005

assignment policy is solution to an experimentation problem---a multi--armed Bandit problem with dependent arms. In presence of … associated with increased experimentation in firms. …

Persistent link: https://www.econbiz.de/10005090831

Optimal Job Design and Career Dynamics in the Presence of Uncertainty

Pastorino, Elena - Society for Economic Dynamics - SED - 2004

experimentation problem, a discounted multi-armed bandit with independent and dependent arms. These equilibria are all ex ante …

Persistent link: https://www.econbiz.de/10005090887

Market Experimentation and Pricing

Bergemann, Dirk; Valimaki, Juuso - Cowles Foundation for Research in Economics, Yale University - 1996

offered is unknown to the market. The market participants learn more about the true value of the product as experimentation … occurs over time. Firms set prices to induce experimentation with their product. The aggregate outcomes are public … externality leads to too much learning. Buyers do not consider the impact of their experimentation on other buyers while the …

Persistent link: https://www.econbiz.de/10005093954

Experimentation in Markets

Bergemann, Dirk; Valimaki, Juuso - Cowles Foundation for Research in Economics, Yale University - 1999

informational externalities among the buyers and the strategic pricing by the sellers results in excessive experimentation. If the …

Persistent link: https://www.econbiz.de/10005593440

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