Expanding Multi-Market Monopoly and Nonconcavity in the Value of Information

In this paper I investigate a Bayesian inverse problem in the specific setting of a price setting monopolist facing a randomly growing demand in multiple possibly interconnected markets. Investigating the Value of Information of a signal to the monopolist in a fully dynamic discrete model employing the Kalman-Bucy-Stratonovich filter, we find that it may be non-monotonic in the variance of the signal. In the classical static settings of the Value of Information literature this relationship may be convex or concave, but is always monotonic. The existence of the non-monotonicity depends critically on the exogenous growth rate of the system.
Comment: 16 pages, no figures