Related papers: Time-consistent stopping under decreasing impatien…

The problem of optimal stopping with finite horizon in discrete time is considered in view of maximizing the expected gain. The algorithm proposed in this paper is completely nonparametric in the sense that it uses observed data from the…

We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…

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…

Job-scheduling games have traditionally assumed fixed processing times. However, in many realistic environments, ranging from cyber-security response to high-frequency trading, a task's duration depends on its starting time. We study…

We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…

We consider 2-player stochastic games with perfectly observed actions, and study the limit, as the discount factor goes to one, of the equilibrium payoffs set. In the usual setup where current states are observed by the players, we show…

We discuss in detail the derivation of stochastic differential equations for the continuum time limit of the Minority Game. We show that all properties of the Minority Game can be understood by a careful theoretical analysis of such…

This paper examines equilibria in dynamic two-sided matching games, extending Gale and Shapley's foundational model to a non-cooperative, decentralized, and dynamic framework. We focus on markets where agents have utility functions and…

This paper is devoted to distributed continuous-time and discrete-time optimization problems with nonuniform convex constraint sets and nonuniform stepsizes for general differentiable convex objective functions. The communication graphs are…

Multi-agent reinforcement learning methods have shown remarkable potential in solving complex multi-agent problems but mostly lack theoretical guarantees. Recently, mean field control and mean field games have been established as a…

We study asymptotic behavior of solutions of the first-order linear consensus model with delay and anticipation, which is a system of neutral delay differential equations. We consider both the transmission-type and reaction-type delay that…

This paper extends the core results of discrete time infinite horizon dynamic programming to the case of state-dependent discounting. We obtain a condition on the discount factor process under which all of the standard optimality results…

We consider discrete-time infinite horizon deterministic optimal control problems with nonnegative cost per stage, and a destination that is cost-free and absorbing. The classical linear-quadratic regulator problem is a special case. Our…

We consider infinite horizon dynamic programming problems, where the control at each stage consists of several distinct decisions, each one made by one of several agents. In an earlier work we introduced a policy iteration algorithm, where…

Targeted interventions in games present a challenging problem due to the asymmetric information available to the regulator and the agents. This note addresses the problem of steering the actions of self-interested agents in quadratic…

In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…

Lengthy evaluation times are common in many optimization problems such as direct policy search tasks, especially when they involve conducting evaluations in the physical world, e.g. in robotics applications. Often when evaluating solution…

In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…

In this paper, we develop an agent-based version of the Diamond search equilibrium model - also called Coconut Model. In this model, agents are faced with production decisions that have to be evaluated based on their expectations about the…

We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer.…