Optimal Experimentation in a Gaussian Environment

Category: Management & Microeconomics Brown Bag Seminar
When: 20 April 2023
, 12:30
 - 13:30
Where: RuW 4.201

Title: Optimal Experimentation in a Gaussian Environment

AbstractIn this paper we study an extension of the Keller Rady (1999) model of monopoly experimentation in a changing environment with two demands to infinitely many possible demands that follow a Gaussian process. Using dynamic Kalman-Bucy-Stratonovich …filtering we show that the main economic intuitions are robust.

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