Duarte Gonçalves
Assistant Professor
University College London, Economics
duarte.goncalves@ucl.ac.uk
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Discrete-Time Methods: Optimal Stopping, Search, and Information Acquisition

This is a broad list of papers of dynamic discrete-time models across a variety of topics (within economics) related to this course.
If you think I am missing a relevant paper (and there will be hundreds of very relevant papers missing), please do reach out: duarte.goncalves@ucl.ac.uk.

Optimal Stopping

• Arrow Blackwell Girshick (1949 Ecta) Bayes and Minimax Solutions of Sequential Decision Problems 10.2307/1905525
• Wald (1947 Ecta) Foundations of a General Theory of Sequential Decision Functions 10.2307/1905331
• Simon (1955 QJE) A Behavioral Model of Rational Choice 10.2307/1884852
• Ferguson (2008 Book) Optimal Stopping and Applications Book
• Duraj Lin (2022 TD) Identification and welfare evaluation in sequential sampling models 10.1007/s11238-021-09826-z
• Denti Marinacci Rustichini (2022 AER) Experimental Cost of Information 10.1257/aer.20210879
• Lehrer Wang (2022 WP) The Value of Information in Stopping Problems 10.48550/arXiv.2205.06583
• Kruse Strack (2015 JET) Optimal stopping with private information 10.1016/j.jet.2015.03.001
• Weitzman (1979 Ecta) Optimal Search for the Best Alternative 10.2307/1910412

Bandits/Experimentation

• Gittins (1979 JRSS) Bandit Processes and Dynamic Allocation Indices 10.1111/j.2517-6161.1979.tb01068.x
• Gittins Jones (1979 Biometrika) A Dynamic Allocation Index for the Discounted Multiarmed Bandit Problem 10.1093/biomet/66.3.561
• Easley Kiefer (1988 Ecta) Controlling a Stochastic Process with Unknown Parameters 10.2307/1911358
• Rothschild (1974 JET) A two-armed bandit theory of market pricing 10.1016/0022-0531(74)90066-0
• Aghion Bolton Harris Jullien (1991 REStud) Optimal Learning by Experimentation 10.2307/2297825
• Fershtman Pavan (2024 WP) Searching for “Arms”: Experimentation with Endogenous Consideration Sets link
• Austen-Smith Martinelli (2018 WP) Optimal Exploration 10.2139/ssrn.3249069

Princing

• Bergemann Valimaki (1996 Ecta) Learning and Strategic Pricing link

Social Learning

• Bikhchandani Hirshleifer Welch (1992 JPE) A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades link
• Banerjee (1992 QJE) A Simple Model of Herd Behavior 10.2307/2118364
• Smith Sørensen (2000 Ecta) Pathological Outcomes of Observational Learning 10.1111/1468-0262.00113
• Bikhchandani Hirshleifer Tamuz Welch (2024 JEL) Information Cascades and Social Learning 10.1257/jel.20241472
• Chamley (2010 Book) Rational Herds link

Procurement

• Wolinsky (2005 JPE) Procurement via Sequential Search 10.1086/430887

Risk and Uncertainty Attitudes and Optimal Stopping

• Riedel (2009 Ecta) Optimal Stopping With Multiple Priors 10.3982/ECTA7594

Research, Testing

• Felgenhauer (2021 GEB) Experimentation and manipulation with preregistration 10.1016/j.geb.2021.09.002
• Terwiesch Loch (2004 MnSc) Collaborative Prototyping and the Pricing of Custom-Designed Products 10.1287/mnsc.1030.0178
• Loch Terwiesch Thomke (2001 MnSc) Parallel and Sequential Testing of Design Alternatives 10.1287/mnsc.47.5.663.10480
• Chen (2021 JF) The Limits of p-Hacking: Some Thought Experiments 10.1111/jofi.13036
• Azevedo Deng Montiel Olea Rao Weyl (2020 JPE) A/B Testing with Fat Tails 10.1086/710607
• Chen (2021 JET) Dynamic survival bias in optimal stopping problems 10.1016/j.jet.2021.105286
• Philipson Hedges (1998 Ecta) Subject Evaluation in Social Experiments 10.2307/2998563

Innovation

• Harris Vickers (1987 REStud) Racing with Uncertainty 10.2307/2297442
• Poggi (2021 WP) The Timing of Complementary Innovations link

Memory Constraints

• Jehiel Steiner (2020 EJ) Selective Sampling with Information-Storage Constraints 10.1093/ej/uez068
• Wilson (2014 Ecta) Bounded Memory and Biases in Information Processing 10.3982/ECTA12188

Delegation and Information Acquisition

• Gerardi Maestri (2012 TE) A principal–agent model of sequential testing 10.3982/TE914
• Ben-Porath Deckel Lipman (2021 WP) Mechanism design for acquisition of/stochastic evidence link
• Henry Ottaviani (2019 AER) Research and the Approval Process: The Organization of Persuasion 10.1257/aer.20171919

Finance

• Bergemann Hege (1998 JBF) Venture capital financing, moral hazard, and learning 10.1016/S0378-4266(98)00017-X
• Bergemann Hege (2005 RAND) The Financing of Innovation: Learning and Stopping link
• Chamley Gale (1994 Ecta) Information Revelation and Strategic Delay in a Model of Investment link

Firm Entry

• Frank (1988 QJE) An Intertemporal Model of Industrial Exit 10.2307/1885116
• Ifrach Weintraub (2017 REStud) A Framework for Dynamic Oligopoly in Concentrated Industries 10.1093/restud/rdw047

(Consumer) Search: Theory

• Stahl (1989 AER) Oligopolistic Pricing with Sequential Consumer Search https://www.jstor.org/stable/1827927
• Caplin Dean (2011 TE) Search, choice, and revealed preference 10.3982/TE592
• Choi Smith (2020 WP) Optimal Sequential Search with Recall 10.2139/ssrn.3530526
• Armstrong (2017 JEEA) Ordered Consumer Search 10.1093/jeea/jvx017
• Ke Villas-Boas (2019 JET) Optimal learning before choice 10.1016/j.jet.2019.01.005
• Doval (2018 JET) Whether or not to open Pandora’s box 10.1016/j.jet.2018.01.005
• Choi Dai Kim (2018 Ecta) Consumer Search and Price Competition 10.3982/ECTA14837
• Brown Uru (2024 MnSc) Sequential Search with Acquisition Uncertainty 10.1287/mnsc.2022.00203

Obfuscation

• Wilson (2010 IJIO) Ordered search and equilibrium obfuscation 10.1016/j.ijindorg.2009.12.001
• Ellison Wolitzky (2012 RAND) A search cost model of obfuscation 10.1111/j.1756-2171.2012.00180.x

Search Order Distortion, Prominence

• Armstrong Vickers Zhou (2009 RAND) Prominence and consumer search 10.1111/j.1756-2171.2009.00062.x
• Derakhshan Golrezaei Manshadi Mirrokni (2022 MnSc) Product Ranking on Online Platforms 10.1287/mnsc.2021.4044
• Gossner Steiner Stewart (2021 Ecta) Attention Please! 10.3982/ECTA17173

Information Provision, Advertising

• Robert Stahl (1993 Ecta) Informative Price Advertising in a Sequential Search Model 10.2307/2951722

Firm Entry

• Cachon Terwiesch Xu (2008 MkSc) On the Effects of Consumer Search and Firm Entry in a Multiproduct Competitive Market 10.1287/mksc.1070.0304

Joint Search

• Chade Smith (2006 Ecta) Simultaneous Search 10.1111/j.1468-0262.2006.00705.x
• Zhou (2014 AER) Multiproduct Search and the Joint Search Effect 10.1257/aer.104.9.2918

Learning Price and Valuations

• Zhou (2011 IJIO) Ordered search in differentiated markets 10.1016/j.ijindorg.2010.07.001

Correlated Values

• Ke Lin (2019 MnSc) Informational Complementarity 10.1287/mnsc.2019.3377

Observational Learning

• Garcia Shelegia (2018 RAND) Consumer search with observational learning 10.1111/1756-2171.12224

Reputation

• Chen Li Zhang (2022 AEJMicro) Experience Goods and Consumer Search 10.1257/mic.20200070

Job Search and Matching

• McCall (1970 QJE) Economics of Information and Job Search 10.2307/1879403
• Lucas Prescott (1974 JET) Equilibrium search and unemployment 10.1016/0022-0531(74)90106-9
• Rogerson Shimer Wright (2005 JEL) Search-Theoretic Models of the Labor Market: A Survey 10.1257/002205105775362014
• Chade Eeckhout Smith (2017 JEL) Sorting through Search and Matching Models in Economics 10.1257/jel.20150777
• McCall McCall (2007 Book) The Economics of Search 10.4324/9780203496039 (unfortunately, not open access)
• Moscarini (2005 Ecta) Job Matching and the Wage Distribution 10.1111/j.1468-0262.2005.00586.x
• Cahuc Postel-Vinay Robin (2006 Ecta) Wage Bargaining with On-the-Job Search: Theory and Evidence 10.1111/j.1468-0262.2006.00665.x