Optimal Experimentation in a Gaussian Environment
Category: Management & Microeconomics Brown Bag Seminar
When: 20 April 2023
Where: RuW 4.201
Speaker: Stefan Behringer (SciencesPo)
Title: Optimal Experimentation in a Gaussian Environment
Abstract: In 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.