An unresolved problem in Bayesian decision theory is how to value and price information. This paper resolves both problems by assuming inexpensive information. Building on Large Deviation Theory, we produce a generically complete asymptotic order on samples of i.i.d. signals in finite-state,...

We assume that an impatient decision maker (DM) runs variable-size experiments at an increasing, strictly convex cost before choosing an irreversible action. We introduce and solve a tractable continuous time version of this problem --- a control of variance of a diffusion with uncertain mean....

We assume that an impatient decision maker (DM) runs variable-size experiments at an increasing, strictly convex cost before choosing an irreversible action. We introduce and solve a tractable continuous time version of this problem - a control of variance of a diffusion with uncertain mean....