Weak Signal Asymptotics for Sequentially Randomized Experiments

The authors are grateful to the referees and editors at Management Science for their detailed comments. The authors are also grateful for valuable feedback and suggestions from Susan Athey, Lin Fan, Peter Glynn, David Goldberg, Keisuke Hirano, Michael Harrison, David Hirshberg, Max Kasy, Emilie Kaufmann, Tor Lattimore, Neil Walton, Jack Porter, Daniel Russo, David Simchi-Levi, as well as seminar participants at a number of venues. An earlier draft of this paper was circulated under the title “Diffusion Asymptotics for Sequential Experiments” (Wager and Kuang 2021). Xu Kuang published under a different full name in earlier versions of this manuscript.