Costly sequential experimentation and project valuation with an application to health technology assessment

DOI10.1016/J.JEDC.2017.01.016MaRDI QIDQ1655657zbMATH OpenOpenAlexFDO

Authors Jacco J. J. Thijssen, Daniele Bregantini

Publication date 9 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://eprints.whiterose.ac.uk/113052/1/HTA_JEDC_R2.pdf

zbMATH Keywords

optimal stoppingsequential experimentationhealth technology assessment

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Recommendations

• A Bayesian decision theoretic model of sequential experimentation with delayed response
• Acquisition of project-specific assets with Bayesian updating
• Investment timing with incomplete information and multiple means of learning
• Investment Timing Under Incomplete Information
• Optimal investment and abandonment decisions for projects with construction uncertainty

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
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• scientific article; zbMATH DE number 3062496 (Why is no real title available?)
• Acquisition of project-specific assets with Bayesian updating
• Applied stochastic control of jump diffusions
• Group Sequential Tests for Delayed Responses (with discussion)
• OPTIMAL STOPPING WITH DELAYED INFORMATION
• On the Best 2-CUSUM Stopping Rule for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
• On the optimal stopping problem for one-dimensional diffusions.
• Strategic Experimentation
• Strategic Experimentation with Exponential Bandits
• Strategic experimentation with Poisson bandits
• Strategic experimentation with private payoffs
• The Optimal Level of Experimentation

Cited in

(7)

• Optimal timing of non-pharmaceutical interventions during an epidemic
• Uncertainty over uncertainty in environmental policy adoption: Bayesian learning of unpredictable socioeconomic costs
• On sticky bookmaking as a learning device in horse-racing betting markets
• The impact of operational delay on irreversible investment under Knightian uncertainty
• Acquisition of project-specific assets with Bayesian updating
• Keeping your options open
• Kalman filter approach to real options with active learning

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