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How to take an exam if you must: Decision under Deadline
Huynh, Hsueh-Ling; Majumdar, Sumon - 2006
This paper uses the example of an exam to model multi-dimensional search under a deadline. When the dimension is two, an order-invariance property allows simple characterization of the optimal search policy. Behavior is shown to be highly sensitive to changes in the deadline, and a wide variety...
Persistent link: https://www.econbiz.de/10011940733
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Optimal Market Making Under Partial Information and Numerical Methods for Impulse Control Games with Applications
Zabaljauregui, Diego - 2020
Persistent link: https://www.econbiz.de/10012842492
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Hierarchical experimentation
Chen, Chia-hui; Ishida, Junichiro - 2015
We consider a bandit problem faced by a team of two heterogeneous players. The team is hierarchical in that one (the principal) retains the exclusive right to terminate the project while the other (the agent) focuses strictly on implementing the project assigned to him. As a key departure, we...
Persistent link: https://www.econbiz.de/10011343543
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The importance of being honest
Klein, Nicolas Alexandre - In: Theoretical economics : TE ; an open access journal in … 11 (2016) 3, pp. 773-811
This paper analyzes the case of a principal who wants to provide an agent with proper incentives to explore a hypothesis that can be either true or false. The agent can shirk, thus never proving the hypothesis, or he can avail himself of a known technology to produce fake successes. This latter...
Persistent link: https://www.econbiz.de/10011671897
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A war of attrition with experimenting players
Chen, Chia-hui; Ishida, Junichiro - 2017
A standard incomplete-information war of attrition is extended to incorporate experimentation and private learning. We …-run and long-run gains of experimentation. The extension yields qualitative impacts on the strategic nature of the problem …. The option value of experimentation serves as a credible commitment device to stay in the game, which is instrumental in …
Persistent link: https://www.econbiz.de/10011756011
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Ambiguity in a real option game
Hellmann, Tobias; Thijssen, Jacco J. J. - 2015
In this paper we study a two-player investment game with a first mover advantage in continuous time with stochastic payoffs, driven by a geometric Brownian motion. One of the players is assumed to be ambiguous with maxmin preferences over a strongly rectangular set of priors. We develop a...
Persistent link: https://www.econbiz.de/10010468336
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Preemption Games Under Levy Uncertainty
Boyarchenko, Svetlana - 2011
We study a stochastic version of Fudenberg and Tirole's (1985) preemption game to analyze the effects of jumps in the underlying uncertainty on equilibrium strategies. Two firms contemplate entering a new market where the demand follows a jump-diffusion process. Firms differ is the sunk costs of...
Persistent link: https://www.econbiz.de/10013125149
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Transboundary Pollution Game with Potential Shift in Damages
Nkuiya, Bruno - 2018
Complex systems exposed to pollution may suddenly and permanently shift to a dangerous regime. This paper studies a dynamic game among countries that face the prospect of such a shift. Each country derives some flow utility from its own emissions, which are chosen unilaterally. But flow...
Persistent link: https://www.econbiz.de/10012925833
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Strategic Experimentation with Erlang Bandits
Boyarchenko, Svetlana - 2017
and experimentation based on two-armed Poisson bandits addressed several important aspects related to strategic and … strategic experimentation which are almost as tractable as exponential models, but incorporate such realistic features as … experimentation before the first failure happens. Moreover, ceteris paribus, experimentation in a model with breakthroughs may last …
Persistent link: https://www.econbiz.de/10012958670
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Strategic Exit With Information and Payoff Externalities
Boyarchenko, Svetlana - 2019
I consider a stopping game between two players, where observations related to an unknown state of the nature arrive at random. Players not only learn from observing each other, but their payoffs also depend on the presence of the counterpart. I derive a general characterization of an equilibrium...
Persistent link: https://www.econbiz.de/10012870821