Related papers: Maximizing functionals of the maximum in the Skoro…
We present a numerical framework to approximate the $\mu$-domain in the planar Skorokhod embedding problem (PSEP), recently appeared in \cite{gross2019}. Our approach investigates the continuity and convergence properties of the solutions…
In this paper we consider (probability-)measure valued processes, which we call MVMs, which have a natural martingale structure. Following previous work of Eldan and Cox-K\"allblad, these processes are known to have a close connection to…
We study the long-time behavior of an additive functional that takes into account the jumps of a symmetric Markov process. This process is assumed to be observed through a biased observation scheme that includes the survival to events of…
We study the Second Price Matching problem, introduced by Azar, Birnbaum, Karlin, and Nguyen in 2009. In this problem, a bipartite graph (bidders and goods) is given, and the profit of a matching is the number of matches containing a second…
We study the convergence of an $N$-particle Markovian controlled system to the solution of a family of stochastic McKean-Vlasov control problems, either with a finite horizon or Schr\"odinger type cost functional. Specifically, under…
We study restricted permutations of sets which have a geometrical structure. The study of restricted permutations is motivated by their application in coding for flash memories, and their relevance in different applications of networking…
The key element of the approach to the theory of necessary conditions in optimal control discussed in the paper is reduction of the original constrained problem to unconstrained minimization with subsequent application of a suitable…
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. Closed, not necessarily convex, constraints are imposed on strategies. The optimal consumption and investment…
Suppose $X$ is a time-homogeneous diffusion on an interval $I^X \subseteq \mathbb R$ and let $\mu$ be a probability measure on $I^X$. Then $\tau$ is a solution of the Skorokhod embedding problem (SEP) for $\mu$ in $X$ if $\tau$ is a…
We study the problem of maximizing constrained non-monotone submodular functions and provide approximation algorithms that improve existing algorithms in terms of either the approximation factor or simplicity. Our algorithms combine…
We consider {\em profit-maximization} problems for {\em combinatorial auctions} with {\em non-single minded valuation functions} and {\em limited supply}. We obtain fairly general results that relate the approximability of the…
We develop an approach for solving one-sided optimal stopping problems in discrete time for general underlying Markov processes on the real line. The main idea is to transform the problem into an auxiliary problem for the ladder height…
In this paper we introduce a numerical method for optimal stopping in the framework of one dimensional diffusion. We use the Skorokhod embedding in order to construct recombining tree approximations for diffusions with general coefficients.…
In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variational equation that involves a free boundary problem of a…
In this work we present the first practical $\left(\frac{1}{e}-\epsilon\right)$-approximation algorithm to maximise a general non-negative submodular function subject to a matroid constraint. Our algorithm is based on combining the…
The Erd\H os Matching Conjecture states that the maximum size $f(n,k,s)$ of a family $\mathcal{F}\subseteq \binom{[n]}{k}$ that does not contain $s$ pairwise disjoint sets is $\max\{|\mathcal{A}_{k,s}|,|\mathcal{B}_{n,k,s}|\}$, where…
In this paper, we introduce a novel technique for constrained submodular maximization, inspired by barrier functions in continuous optimization. This connection not only improves the running time for constrained submodular maximization but…
We prove that the variance swap rate (fair strike) equals the price of a co-terminal European-style contract when the underlying is an exponential Markov process, time-changed by an arbitrary continuous stochastic clock, which has arbitrary…
The problem of maximizing a constrained monotone set function has many practical applications and generalizes many combinatorial problems. Unfortunately, it is generally not possible to maximize a monotone set function up to an acceptable…
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We…