{"title":"The value of information in stopping problems","authors":"","doi":"10.1007/s00199-023-01543-8","DOIUrl":null,"url":null,"abstract":"<h3>Abstract</h3> <p>We consider stopping problems in which a decision maker (DM) faces an unknown state of nature and decides sequentially whether to stop and take an irreversible action, or pay a fee and obtain additional information. We discuss the value and quality of information. The former is the maximal discounted expected total payment the DM can generate under a history-dependent fee scheme. We show that among all history-dependent fee schemes, the upfront fee scheme (as opposed, for instance, to pay-for-use) is optimal: it achieves the value of information. The effects on the optimal strategy of obtaining information from a more accurate source and of having a higher discount factor are distinct, as far as expected stopping time and its distribution are concerned. However, these factors have a similar effect in that they both enlarge the set of cases in which the optimal strategy prescribes waiting.</p>","PeriodicalId":47982,"journal":{"name":"Economic Theory","volume":"30 1","pages":""},"PeriodicalIF":1.2000,"publicationDate":"2023-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic Theory","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1007/s00199-023-01543-8","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
We consider stopping problems in which a decision maker (DM) faces an unknown state of nature and decides sequentially whether to stop and take an irreversible action, or pay a fee and obtain additional information. We discuss the value and quality of information. The former is the maximal discounted expected total payment the DM can generate under a history-dependent fee scheme. We show that among all history-dependent fee schemes, the upfront fee scheme (as opposed, for instance, to pay-for-use) is optimal: it achieves the value of information. The effects on the optimal strategy of obtaining information from a more accurate source and of having a higher discount factor are distinct, as far as expected stopping time and its distribution are concerned. However, these factors have a similar effect in that they both enlarge the set of cases in which the optimal strategy prescribes waiting.
期刊介绍：
The purpose of Economic Theory is to provide an outlet for research - in all areas of economics based on rigorous theoretical reasoning, and
- on specific topics in mathematics which is motivated by the analysis of economic problems. Economic Theory''s scope encompasses - but is not limited to - the following fields. - classical and modern equilibrium theory
- cooperative and non-cooperative game theory
- macroeconomics
- social choice and welfare
- uncertainty and information, intertemporal economics (including dynamical systems)
- public economics
- international and developmental economics
- financial economics, money and banking
- industrial organization Economic Theory also publishes surveys if they clearly picture the basic ideas at work in some areas, the essential technical apparatus which is used and the central questions which remain open. The development of a productive dialectic between stylized facts and abstract formulations requires that economic relevance be at the forefront. Thus, correct, and innovative, mathematical analysis is not enough; it must be motivated by - and contribute to - the understanding of substantive economic problems.
Officially cited as: Econ Theory
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
