Related papers: Time management in a Poisson fishing model
Animals moving together in groups are believed to interact among each other with effective social forces, such as attraction, repulsion and alignment. Such forces can be inferred using 'force maps', i.e. by analysing the dependency of the…
We study the quickest detection problem of a sudden change in the arrival rate of a Poisson process from a known value to an unknown and unobservable value at an unknown and unobservable disorder time. Our objective is to design an alarm…
We consider the optimal double stopping time problem defined for each stopping time $S$ by $v(S)=\esssup\{E[\psi(\tau_1, \tau_2) | \F_S], \tau_1, \tau_2 \geq S \}$. Following the optimal one stopping time problem, we study the existence of…
We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved explicitly in this context, and the closed-formula optimal…
This paper introduces a new class of Dynkin games, where the two players are allowed to make their stopping decisions at a sequence of exogenous Poisson arrival times. The value function and the associated optimal stopping strategy are…
We study the problem of estimating a continuous ability parameter from sequential binary responses by actively asking questions with varying difficulties, a setting that arises naturally in adaptive testing and online preference learning.…
The goal of this paper is to investigate an instance of the tragedy of the commons in spatially distributed harvesting games. The model we choose is that of a fishes' population that is governed by a parabolic bistable equation and that…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
We present an instance of the optimal sensor scheduling problem with the additional relaxation that our observer makes active choices whether or not to observe and how to observe. We mask the nodes in a directed acyclic graph of the model…
Frequency non-selective time-selective multiple access channels in which transmitters can freely choose their power control policy are considered. The individual objective of the transmitters is to maximize their averaged energy-efficiency.…
We consider a retailer selling a single product with limited on-hand inventory over a finite selling season. Customer demand arrives according to a Poisson process, the rate of which is influenced by a single action taken by the retailer…
We consider an online resource allocation problem where multiple resources, each with an individual initial capacity, are available to serve random requests arriving sequentially over multiple discrete time periods. At each time period, one…
The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…
This paper considers an opportunistic scheduling problem over a renewal system. A controller observes a random event at the beginning of each renewal frame and then chooses an action in response to the event, which affects the duration of…
The aim of this paper is to provide a variational interpretation of the nonlinear filter in continuous time. A time-stepping procedure is introduced, consisting of successive minimization problems in the space of probability densities. The…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
A large dam model is an object of study of this paper. The parameters $L^{lower}$ and $L^{upper}$ are its lower and upper levels, $L=L^{upper}-L^{lower}$ is large, and if a current level of water is between these bounds, then the dam is…
Repeated game has long been the touchstone model for agents' long-run relationships. Previous results suggest that it is particularly difficult for a repeated game player to exert an autocratic control on the payoffs since they are jointly…
Effective management of recreational fisheries requires accurate forecasting of future harvests and real-time monitoring of ongoing harvests. Traditional methods that rely on historical catch data to predict short-term harvests can be…
We analyse the problem of meeting times for interdependent stochastic agents: random walkers whose behaviour is stochastic but controlled by their selections from some set of allowed actions, and the inference problem of when these agents…