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The effect of information in separable Bayesian semi-Markov control models and its application to investment planning

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Abstract

We consider a separable Bayesian semi-Markov control model to describe economic decisions under uncertainty. Our main interest is to examine the influence of the possibility of learning on the economic decisions and on the total expected return in a multi-period framework. We make use of the concept of Blackwell-sufficiency and apply the results to multi-period investment planing under uncertainty.

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Authors and Affiliations

  1. Department of Economics, University of Ulm, Helmholtzstraße 18, 89069, Ulm, Germany

    Rudi Zagst

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  1. Rudi Zagst
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Zagst, R. The effect of information in separable Bayesian semi-Markov control models and its application to investment planning. ZOR - Methods and Models of Operations Research 41, 277–288 (1995). https://doi.org/10.1007/BF01432360

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  • DOI: https://doi.org/10.1007/BF01432360

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