Related papers: The Value of Information in Stopping Problems
This paper presents an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of risk. We solve the problem in continuous time, for an investor with a…
We study the value and the optimal strategies for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our Bayesian set-up, the drift of the underlying diffusion process is unknown to one player…
We consider an irreversible investment problem under incomplete information, where the investor decides whether and when to make investments in a project. Upon investment, the investor acquires previously hidden information from the…
We study an admissions control problem, where a queue with service rate $1-p$ receives incoming jobs at rate $\lambda\in(1-p,1)$, and the decision maker is allowed to redirect away jobs up to a rate of $p$, with the objective of minimizing…
A perfectly rational decision-maker chooses the best action with the highest utility gain from a set of possible actions. The optimality principles that describe such decision processes do not take into account the computational costs of…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
We study a cost sharing problem derived from bug bounty programs, where agents gain utility by the amount of time they get to enjoy the cost shared information. Once the information is provided to an agent, it cannot be retracted. The goal,…
This paper studies a dynamic information acquisition model with payoff externalities. Two players can acquire costly information about an unknown state before taking a safe or risky action. Both information and the action taken are private.…
We study a bilateral trade problem where a principal has private information that is revealed with delay, such as a seller who does not yet know her production cost. Postponing the contracting process incurs a costly delay, while early…
We study the optimal usage-based pricing problem in a resource-constrained network with one profit-maximizing service provider and multiple groups of surplus-maximizing users. With the assumption that the service provider knows the utility…
We study the necessity of predictive information in a class of queueing admission control problems, where a system manager is allowed to divert incoming jobs up to a fixed rate, in order to minimize the queueing delay experienced by the…
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the…
We study a dynamic model of information provision. A state of nature evolves according to a Markov chain. An informed advisor decides how much information to provide to an uninformed decision maker, so as to influence his short-term…
In school choice, students make decisions based on their expectations of particular schools' suitability, and the decision to gather information about schools is influenced by the acceptance odds determined by the mechanism in place. We…
According to conventional wisdom, ambiguity accelerates optimal timing by decreasing the value of waiting in comparison with the unambiguous benchmark case. We study this mechanism in a multidimensional setting and show that in a…
The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
We consider a manufacturer who manages the end-of-life phase and takes one of the three actions at each period: (1) place an order, (2) use existing inventory, (3) stop holding inventory and use an outside/alternative source. Two examples…
This paper studies sequential information acquisition by an ambiguity-averse decision maker (DM), who decides how long to collect information before taking an irreversible action. The agent optimizes against the worst-case belief and…