Related papers: Stochastic Optimal Control for Online Seller under…
Traditional user profiling techniques rely on browsing history or purchase records to identify users' willingness to pay. This enables sellers to offer personalized prices to profiled users while charging only a uniform price to…
We consider the problem of devising incentive strategies for viral marketing of a product. In particular, we assume that the seller can influence penetration of the product by offering two incentive programs: a) direct incentives to…
We study a stochastic control problem on a bounded domain, which arises from a continuous-time optimal management model. Via the corresponding Hamilton-Jacobi-Bellman equation the value function is shown to be jointly continuous and to…
We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price…
Traditional approaches to ranking in web search follow the paradigm of rank-by-score: a learned function gives each query-URL combination an absolute score and URLs are ranked according to this score. This paradigm ensures that if the score…
A retailer is purchasing goods in bundles from suppliers and then selling these goods in bundles to customers; her goal is to maximize profit, which is the revenue obtained from selling goods minus the cost of purchasing those goods. In…
We study the power of price discrimination via an intermediary in bilateral trade, when there is a revenue-maximizing seller selling an item to a buyer with a private value drawn from a prior. Between the seller and the buyer, there is an…
We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer demand is given by a compound Poisson process. It is possible at any time to switch…
In this paper, we study the offline sequential feature-based pricing and inventory control problem where the current demand depends on the past demand levels and any demand exceeding the available inventory is lost. Our goal is to leverage…
We study dynamic reputation in a social-learning environment where only purchase decisions are observable. A long-lived seller posts a fixed price and chooses costly product quality in each period before interacting with short-lived buyers…
We address the challenge of solving machine learning tasks using data from privacy-sensitive sellers. Since the data is private, we design a data market that incentivizes sellers to provide their data in exchange for payments. Therefore our…
Motivated by applications in online marketplaces such as ride-hailing, we study how strategic servers impact the system performance. We consider a discrete-time process in which, heterogeneous types of customers and servers arrive. Each…
We explore an optimal impulse control problem wherein an electronic device owner strategically calibrates protection levels against cyber attacks. Utilizing epidemiological compartment models, we qualitatively characterize the dynamics of…
This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving optimal stopping strategies that depend on the current…
We study the problem of multi-dimensional revenue maximization when selling $m$ items to a buyer that has additive valuations for them, drawn from a (possibly correlated) prior distribution. Unlike traditional Bayesian auction design, we…
Distribution shifts have long been regarded as troublesome external forces that a decision-maker should either counteract or conform to. An intriguing feedback phenomenon termed decision dependence arises when the deployed decision affects…
We characterize the statistical properties of a large number of online auctions run on eBay. Both stationary and dynamic properties, like distributions of prices, number of bids etc., as well as relations between these quantities are…
In this paper, we develop an information-theoretic framework for the optimal privacy-aware estimation of the states of a (linear or nonlinear) system. In our setup, a private process, modeled as a first-order Markov chain, derives the…
Fighting Fantasy is a popular recreational fantasy gaming system worldwide. Combat in this system progresses through a stochastic game involving a series of rounds, each of which may be won or lost. Each round, a limited resource (`luck')…
This paper studies the finite horizon portfolio management by optimally tracking a ratcheting capital benchmark process. It is assumed that the fund manager can dynamically inject capital into the portfolio account such that the total…