Related papers: The Value of Information in Stopping Problems
In many decision-making scenarios, individuals strategically choose what information to disclose to optimize their own outcomes. It is unclear whether such strategic information disclosure can lead to good societal outcomes. To address this…
We study multi-product monopoly pricing where the seller jointly designs the selling mechanism and the information structure for the buyer to learn his values. Unlike the case with exogenous information, we show that when the seller…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
A monopolistic seller aims to sell an indivisible item to multiple potential buyers. Each buyer's valuation depends on their private type and the item's quality. The seller can observe the quality but it is unknown to buyers. This quality…
I consider the optimal hourly (or per-unit-time in general) pricing problem faced by a freelance worker (or a service provider) on an on-demand service platform. Service requests arriving while the worker is busy are lost forever. Thus, the…
We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…
An agent acquires information dynamically until her belief about a binary state reaches an upper or lower threshold. She can choose any signal process subject to a constraint on the rate of entropy reduction. Strategies are ordered by "time…
This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…
We consider the problem in which n items arrive to a market sequentially over time, where two agents compete to choose the best possible item. When an agent selects an item, he leaves the market and obtains a payoff given by the value of…
We propose a model to study the effects of delayed information on option pricing. We first talk about the absence of arbitrage in our model, and then discuss super replication with delayed information in a binomial model, notably, we…
A firm that sells a non perishable product considers intertemporal price discrimination in the objective of maximizing its long-run average revenue. We consider a general model of patient customers with changing valuations. Arriving…
There is a growing body of work on sorting and selection in models other than the unit-cost comparison model. This work is the first treatment of a natural stochastic variant of the problem where the cost of comparing two elements is a…
We consider a decision maker (DM) who, before taking an action, seeks information by allocating her limited attention dynamically over different news sources that are biased toward alternative actions. Endogenous choice of information…
We study the optimal pricing strategy of a monopolist selling homogeneous goods to customers over multiple periods. The customers choose their time of purchase to maximize their payoff that depends on their valuation of the product, the…
In this paper we examine problems motivated by on-line financial problems and stochastic games. In particular, we consider a sequence of entirely arbitrary distinct values arriving in random order, and must devise strategies for selecting…
A well-intentioned principal provides information to a rationally inattentive agent without internalizing the agent's cost of processing information. Whatever information the principal makes available, the agent may choose to ignore some.…
We consider the optimal value of information (VoI) problem, where the goal is to sequentially select a set of tests with a minimal cost, so that one can efficiently make the best decision based on the observed outcomes. Existing algorithms…
In the online (time-series) search problem, a player is presented with a sequence of prices which are revealed in an online manner. In the standard definition of the problem, for each revealed price, the player must decide irrevocably…
We study a routing game in an environment with multiple heterogeneous information systems and an uncertain state that affects edge costs of a congested network. Each information system sends a noisy signal about the state to its subscribed…
In this paper, we propose an information-theoretic exploration strategy for stochastic, discrete multi-armed bandits that achieves optimal regret. Our strategy is based on the value of information criterion. This criterion measures the…