The demand for information: More heat than light

DOI10.1016/j.jet.2007.03.003zbMath1140.91395OpenAlexW3125594215MaRDI QIDQ936629

Jussi Keppo, Lones Smith, Giuseppe Moscarini

Publication date: 19 August 2008

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://repec.org/sed2005/up.24662.1107206598.pdf

zbMATH Keywords

heat equationelasticityoption pricinginformationdiffusion processmartingaledemand curvegarblingIto's Lemmanon-concavity

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Consumer behavior, demand theory (91B42)

Related Items (6)

Learning Manipulation Through Information Dissemination ⋮ To share or not to share? When information sharing meets remanufacturing ⋮ The A/B testing problem with Gaussian priors ⋮ Opaque bank assets and optimal equity capital ⋮ Variance Regularization in Sequential Bayesian Optimization ⋮ On the economic value of signals

Cites Work

• A Mathematical Theory of Communication
• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Another look at the Radner--Stiglitz nonconcavity in the value of information.
• A Bayesian Model of Demand for Information about Product Quality
• The Optimal Level of Experimentation
• Stochastic Calculus
• The Law of Large Demand for Information
• Stochastic differential equations. An introduction with applications.
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