Related papers: Equilibrium policies when preferences are time inc…
We analyze the question of whether the outcome of an oligopoly exploiting a nonrenewable resource can be replicated by a related monopoly, within the framework of continuous time and Markov Perfect Nash Equilibrium. We establish necessary…
This paper presents an axiomatic approach to finite Markov decision processes where the discount rate is zero. One of the principal difficulties in the no discounting case is that, even if attention is restricted to stationary policies, a…
We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded…
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency. Employing the method of stochastic maximum principle, we establish verification…
In optimal stopping problems, a Markov structure guarantees Markovian optimal stopping times (first exit times). Surprisingly, there is no analogous result for Markovian stopping games once randomization is required. This paper addresses…
Many non-trivial sequential decision-making problems are efficiently solved by relying on Bellman's optimality principle, i.e., exploiting the fact that sub-problems are nested recursively within the original problem. Here we show how it…
The paper concerns the study of equilibrium points, or steady states, of economic systems arising in modeling optimal investment with \textit{vintage capital}, namely, systems where all key variables (capitals, investments, prices) are…
We define a wide class of Markovian load balancing networks of identical single-server infinite-buffer queues. These networks may implement classic parallel server or work stealing load balancing policies, and may be asymmetric, for…
The assumptions of necessary rationality and necessary knowledge of strategies, also known as perfect prediction, lead to at most one surviving outcome, immune to the knowledge that the players have of them. Solutions concepts implementing…
This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or…
In this paper, we present an optimal control problem for stochastic differential games under Markov regime-switching forward-backward stochastic differential equations with jumps and partial information. First, we prove a sufficient maximum…
Suppose an online platform wants to compare a treatment and control policy, e.g., two different matching algorithms in a ridesharing system, or two different inventory management algorithms in an online retail site. Standard randomized…
Many policy problems involve designing individualized treatment allocation rules to maximize the equilibrium social welfare of interacting agents. Focusing on large-scale simultaneous decision games with strategic complementarities, we…
In this paper we study a time-inconsistent portfolio optimization problem for competitive agents with CARA utilities and non-exponential discounting. The utility of each agent depends on her own wealth and consumption as well as the…
The mathematical characterization of social-distancing games in classical epidemic theory remains an important question, for their applications to both infectious-disease theory and memetic theory. We consider a special case of the dynamic…
We consider optimal control of a stochastic network,where service is controlled to prevent buffer overflow. We use a risk-sensitive escape time criterion, which in comparison to the ordinary escape time criteria heavily penalizes exits…
We consider any network environment in which the "best shot game" is played. This is the case where the possible actions are only two for every node (0 and 1), and the best response for a node is 1 if and only if all her neighbors play 0. A…
We consider zero-sum stochastic games for continuous time Markov decision processes with risk-sensitive average cost criterion. Here the transition and cost rates may be unbounded. We prove the existence of the value of the game and a…
This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified period of time. The second firm to invest gets information…
We introduce two-level discounted games played by two players on a perfect-information stochastic game graph. The upper level game is a discounted game and the lower level game is an undiscounted reachability game. Two-level games model…