Below each economics paper you can find keywords describing its topic.
My math research appears at the bottom of this page.
Bargaining with Endogenous Learning (job market paper)
[download pdf] [online appendix]
Keywords: dynamic bargaining, learning, endogenous information search, endogenous exploitation, strategic option value
I study a dynamic bargaining game in which a buyer can choose to learn privately about her valuation of the good. Information generation takes time and is endogenous. After learning, the buyer can disclose verifiable evidence of her valuation to the seller. Examples include venture capital negotiations or procurement of new technologies, which feature significant delay due to endogenous costly learning. If learning is costless, the buyer receives informational rents only if period-length is small enough. If learning is costly, she receives informational rents for any period-length. In stationary equilibria with mixed pricing the buyer waits until she can acquire the information and exercise the associated strategic option. Nevertheless, there are stationary equilibria with pure pricing that feature vanishing delay and payoffs close to efficiency, even if learning is costly. If period-length is small enough, all stationary equilibria feature non-extreme prices and payoffs. The analysis quantifies the potential inefficiency from costly learning, from the endogenous delay and allows for comparative statics.
A benevolent sender communicates non-instrumental information over time to a Bayesian receiver who experiences gain-loss utility over changes in beliefs (“news utility”). We show how to compute the optimal dynamic information structure for arbitrary news-utility functions. With diminishing sensitivity over the magnitude of news, one-shot resolution of uncertainty is strictly suboptimal under commonly used functional forms. Information structures that deliver bad news gradually are never optimal. We identify additional conditions that imply the sender optimally releases good news in small pieces but bad news in one clump. When the sender lacks commitment power, diminishing sensitivity leads to a credibility problem for good-news messages. Without loss aversion, the babbling equilibrium is essentially unique. More loss-averse receivers may enjoy higher equilibrium news-utility, contrary to the commitment case. We discuss applications to media competition and game shows.
Consider an agent or a population of homogeneous agents who privately learn information about a payoff-relevant uncertain state of the world through a technology of sequential experiments. We consider two distinct cases of costly experimentation. In the first case, the agents discount future payoffs geometrically. In the second, they pay a constant flow cost of time. Suppose the analyst observes the joint distribution over chosen action and decision time. We show that such random choice data uniquely identify the discount factor in the first case and the cost of time in the second case, besides identifying the agents’ prior and taste. Moreover, we show how an outside observer with access to this random choice data can conduct welfare analysis despite being oblivious of the technology of sequential experiments the agents are using. Our results highlight the usefulness of decision time in choice data.
Green Function of a Random Walk in a Cone (with Vitali Wachtel)
Invariance Principles for Random Walks in Cones (with Vitali Wachtel)
accepted for publication at Stochastic Processes and their Applications
Random Walks in Cones: the Case of Non-zero Drift
Stochastic Processes and their Applications, 124(4), 1503-1518, April 2014
On Harmonic Functions of Killed Random Walks in Convex Cones
Electronic Communications in Probability, 19, paper no. 80, 1-10