Related papers: Stochastic Optimal Control for Online Seller under…

We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the resulting Hamilton Jacobi Bellman equations…

We apply classical statistical methods in conjunction with the state-of-the-art machine learning techniques to develop a hybrid interpretable model to analyse 454,897 online customers' behavior for a particular product category at the…

We study a multi-objective model on the allocation of reusable resources under model uncertainty. Heterogeneous customers arrive sequentially according to a latent stochastic process, request for certain amounts of resources, and occupy…

Dynamic pricing of goods in a competitive environment to maximize revenue is a natural objective and has been a subject of research over the years. In this paper, we focus on a class of markets exhibiting the substitutes property with…

We introduce a stochastic version of the optimal transport problem. We provide an analysis by means of the study of the associated Hamilton-Jacobi-Bellman equation, which is set on the set of probability measures. We introduce a new…

We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal…

Strategic product placement can have a strong influence on customer purchase behavior in physical stores as well as online platforms. Motivated by this, we consider the problem of optimizing the placement of substitutable products in…

We analyze reputation dynamics in an online market for illicit drugs using a novel dataset of prices and ratings. The market is a black market, and so contracts cannot be enforced. We study the role that reputation plays in alleviating…

We investigate the algorithmic problem of selling information to agents who face a decision-making problem under uncertainty. We adopt the model recently proposed by Bergemann et al. [BBS18], in which information is revealed through…

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and…

We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that…

``When in a difficult situation, it is sometimes better to give up and start all over again''. While this empirical truth has been regularly observed in a wide range of circumstances, quantifying the effectiveness of such a heuristic…

Feedback controllers for port-Hamiltonian systems reveal an intrinsic inverse optimality property since each passivating state feedback controller is optimal with respect to some specific performance index. Due to the nonlinear…

Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step…

We study the optimal pricing strategy of a monopolist selling homogeneous goods to customers over multiple periods. The customers choose their time of purchase to maximize their payoff that depends on their valuation of the product, the…

In this work, we consider dynamic influence maximization games over social networks with multiple players (influencers). The goal of each influencer is to maximize their own reward subject to their limited total budget rate constraints.…

We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…

We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic…

This paper considers consumption and portfolio optimization problems with recursive preferences in both infinite and finite time regions. Specially, the financial market consists of a risk-free asset and a risky asset that follows a general…

We study a dynamic market setting where an intermediary interacts with an unknown large sequence of agents that can be either sellers or buyers: their identities, as well as the sequence length $n$, are decided in an adversarial, online…