Related papers: Stochastic Optimal Control for Online Seller under…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its historical maximum. This leads to a path-dependent stochastic…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
We extend the work on optimal investment and consumption of a population considered in [2] to a general stochastic setting over a finite time horizon. We incorporate the Cobb-Douglas production function in the capital dynamics while the…
We assume a continuous-time price impact model similar to Almgren-Chriss but with the added assumption that the price impact parameters are stochastic processes modeled as correlated scalar Markov diffusions. In this setting, we develop…
Controlling the stochastic dynamics of biological populations is a challenge that arises across various biological contexts. However, these dynamics are inherently nonlinear and involve a discrete state space, i.e., the number of molecules,…
In this paper, we consider the problem of controlling a diffusion process pertaining to an opioid epidemic dynamical model with random perturbation so as to prevent it from leaving a given bounded open domain. Here, we assume that the…
We study revenue optimization in a repeated auction between a single seller and a single buyer. Traditionally, the design of repeated auctions requires strong modeling assumptions about the bidder behavior, such as it being myopic, infinite…
We propose a formula of time-series prediction by means of three states random field Ising model (RFIM). At the economic crisis due to disasters or international disputes, the stock price suddenly drops. The macroscopic phenomena should be…
We introduce a regulated stochastic diffusion model for the recycling rate and formulate a joint control problem over production and process innovation via the dynamics of recycling investment and product pricing. The resulting stochastic…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…
This work addresses stochastic optimal control problems where the unknown state evolves in continuous time while partial, noisy, and possibly controllable measurements are only available in discrete time. We develop a framework for…
The focus of this paper is directed towards optimal control of multi-agent systems consisting of one leader and a number of followers in the presence of noise. The dynamics of every agent is assumed to be linear, and the performance index…
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the storage level controlled by the storage…
We study the behavior of for-profit institutions that broadcast reputations to foster trust among market participants. We develop a theoretical model in which buyers and sellers are matched on a platform to engage in transactions involving…
The Random Utility Maximization model is by far the most adopted framework to estimate consumer choice behavior. However, behavioral economics has provided strong empirical evidence of irrational choice behavior, such as halo effects, that…
This study introduces an optimal mechanism in a dynamic stochastic knapsack environment. The model features a single seller who has a fixed quantity of a perfectly divisible item. Impatient buyers with a piece-wise linear utility function…
The Bass diffusion equation is a well-known and established modeling approach for describing new product adoption in a competitive market. This model also describes diffusion phenomena in various contexts: infectious disease spread modeling…
In this paper, we introduce a Bayesian revenue-maximizing mechanism design model where the items have fixed, exogenously-given prices. Buyers are unit-demand and have an ordinal ranking over purchasing either one of these items at its given…
This work introduces an online Bayesian game-theoretic method for behavior identification in multi-agent dynamical systems. By casting Hamilton-Jacobi-Bellman optimality conditions as linear-in-parameter residuals, the method enables fast…