The value of information in stopping problems

DOI10.1007/S00199-023-01543-8MaRDI QIDQ6623772zbMATH OpenFDO

Authors Ehud Lehrer, Tao Wang

Publication date 24 October 2024

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00199-023-01543-8

zbMATH Keywords

information qualityoptimal fee schemepatiencestopping problemvalue of information

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Decision theory (91B06)

Recommendations

• The value of information in some variations of the stopping problem
• An optimal stopping problem with two levels of incomplete information
• Optimal stopping with information constraint
• Stopping problems with an unknown state
• OPTIMAL STOPPING WITH DELAYED INFORMATION

Cites work

• A strong law of large numbers for nonexpansive vector-valued stochastic processes
• Comparing location experiments
• Discounted Dynamic Programming
• Equivalent Comparisons of Experiments
• Foundations of a General Theory of Sequential Decision Functions
• Interest Rates, Irreversibility, and Backward-Bending Investment
• Investment under Uncertainty, Irreversibility and the Arrival of Information Over Time
• Repeated Games with Differential Time Preferences
• Sequential Tests of Statistical Hypotheses
• The Law of Large Demand for Information
• The Optimal Level of Experimentation
• The value of a stochastic information structure
• The value of information -- an axiomatic approach

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