The Optimal Level of Experimentation

DOI10.1111/1468-0262.00259MaRDI QIDQ4531045zbMATH OpenOpenAlexFDO

Authors Giuseppe Moscarini, Lones Smith

Publication date 28 May 2002

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1468-0262.00259

zbMATH Keywords

cost functiondiffusiondynamic R\&Ddynamicsexperimentationvariance

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Mathematical economics (91B99)

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Cited in

(40)

• A simulation approach to optimal stopping under partial information
• A weakly monotonic backward induction algorithm on finite bounded subsets of vector lattices.
• Costly sequential experimentation and project valuation with an application to health technology assessment
• Keeping your options open
• Optimal learning before choice
• Dynamic quality signaling with hidden actions
• Herding with costly information
• A linear-quadratic Gaussian approach to dynamic information acquisition
• Another look at the Radner--Stiglitz nonconcavity in the value of information.
• Bayesian persuasion with optimal learning
• Kalman filter approach to real options with active learning
• Parallel search for information in continuous time -- optimal stopping and geometry of the PDE
• Dynamic survival bias in optimal stopping problems
• Monotonic robust optimal control policies for the time-quality trade-offs in concurrent new product development (NPD)
• Expert-mediated sequential search
• Ambiguity aversion under maximum-likelihood updating
• Experimentation and manipulation with preregistration
• Rational inattention when decisions take time
• Optimal markdown pricing strategy with demand learning
• Stochastic differential game for management of non-renewable fishery resource under model ambiguity
• Investment timing with incomplete information and multiple means of learning
• Optimal Experimentation in a Changing Environment
• New venture creation: a drift-variance diffusion control model
• Learning Manipulation Through Information Dissemination
• Irreversible investment under predictable growth: why land stays vacant when housing demand is booming
• The A/B testing problem with Gaussian priors
• Optimal Dynamic Information Acquisition
• The Dynamics of Instability
• The value of information in stopping problems
• Coordination with sequential information acquisition
• Forward-looking experimentation of correlated alternatives
• Gradual learning from incremental actions
• The effect of information streams on capital budgeting decisions
• Ratings design and barriers to entry
• Experimentation with accumulation
• Optimal experimentation and the perturbation method in the neighborhood of the augmented linear regulator problem
• Common value experimentation
• On the smoothness of value functions and the existence of optimal strategies in diffusion models
• The demand for information: More heat than light
• Limited information capacity as a source of inertia

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