Optimal timing of decisions: A general theory based on continuation values

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2019
Volume: 101
Issue: C
Pages: 62-81

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

By extending a methodology dating back to Jovanovic (1982), we develop a comprehensive theory of optimal timing of decisions based on continuation value functions and operators that act on them. Rewards can be bounded or unbounded. One advantage of this approach over standard Bellman methods is that continuation value functions are smoother than value functions. Another is that, for a range of problems, the continuation value function exists in a lower dimensional space than the value function. We exploit these advantages to obtain a range of new results on optimality, optimal behavior and efficient computation.

Technical Details

RePEc Handle
repec:eee:dyncon:v:101:y:2019:i:c:p:62-81
Journal Field
Macro
Author Count
2
Added to Database
2026-01-25