Related papers: The Value of Information in Stopping Problems

A decision maker is choosing between an active action (e.g., purchase a house, invest certain stock) and a passive action. The payoff of the active action depends on the buyer's private type and also an unknown state of nature. An…

The emergent behavior of a distributed system is conditioned by the information available to the local decision-makers. Therefore, one may expect that providing decision-makers with more information will improve system performance; in this…

When an investor is faced with the option to purchase additional information regarding an asset price, how much should she pay? To address this question, we solve for the indifference price of information in a setting where a trader…

Decision making in modern stochastic systems, including e-commerce platforms, financial markets and healthcare systems, has evolved into a multifaceted process that combines information acquisition and adaptive information sources. This…

We consider decision-making under incomplete information about an unknown state of nature. We show that a decision problem yields a higher value of information than another, uniformly across information structures, if and only if it is…

Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…

All sequential decision-making agents explore so as to acquire knowledge about a particular target. It is often the responsibility of the agent designer to construct this target which, in rich and complex environments, constitutes a onerous…

We develop a Bayesian model for decision-making under time pressure with endogenous information acquisition. In our model, the decision maker decides when to observe (costly) information by sampling an underlying continuous-time stochastic…

A decision-maker periodically acquires information about a changing state, controlling both the timing and content of updates. I characterize optimal policies using a decomposition of the dynamic problem into optimal stopping and static…

We study the algorithmic problem faced by an information holder (seller) who wants to optimally sell such information to a budged-constrained decision maker (buyer) that has to undertake some action. Differently from previous, we consider…

We consider an optimal stopping problem with n correlated offers where the goal is to design a (randomized) stopping strategy that maximizes the expected value of the offer in the sequence at which we stop. Instead of assuming to know the…

Many decision problems in economics, information technology, and industry can be transformed to an optimal stopping of adapted random vectors with some utility function over the set of Markov times with respect to filtration build by the…

We consider the problem of a decision-maker searching for information on multiple alternatives when information is learned on all alternatives simultaneously. The decision-maker has a running cost of searching for information, and has to…

I study the optimal provision of information in a long-term relationship between a sender and a receiver. The sender observes a persistent, evolving state and commits to send signals over time to the receiver, who sequentially chooses…

We consider a dynamic moral hazard problem between a principal and an agent, where the sole instrument the principal has to incentivize the agent is the disclosure of information. The principal aims at maximizing the (discounted) number of…

An agent acquires a costly flexible signal before making a decision. We explore to what degree knowledge of the agent's information costs helps predict her behavior. We establish an impossibility result: learning costs alone generate no…

We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of…

We consider a model where an agent has a repeated decision to make and wishes to maximize their total payoff. Payoffs are influenced by an action taken by the agent, but also an unknown state of the world that evolves over time. Before…

We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…

Time or money? That is a question! In this paper, we consider this dilemma in the pricing regime, in which we try to find the optimal pricing scheme for identical items with heterogenous time-sensitive buyers. We characterize the…