Related papers: Entry-exit decisions with implementation delay und…
We study a robust optimal stopping problem with respect to a set $\cP$ of mutually singular probabilities. This can be interpreted as a zero-sum controller-stopper game in which the stopper is trying to maximize its pay-off while an adverse…
A method based on deep artificial neural networks and empirical risk minimization is developed to calculate the boundary separating the stopping and continuation regions in optimal stopping. The algorithm parameterizes the stopping boundary…
We consider optimal transport problems where the cost is optimized over controlled dynamics and the end time is free. Unlike the classical setting, the search for optimal transport plans also requires the identification of optimal "stopping…
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…
Animals and humans make decisions based on their expected outcomes. Since relevant outcomes are often delayed, perceiving delays and choosing between earlier versus later rewards (intertemporal decision-making) is an essential component of…
This paper provides a general characterization of subgame perfect equilibria for strategic timing problems, where two firms have the (real) option to make an irreversible investment. Profit streams are uncertain and depend on the market…
People are often reluctant to sell a house, or shares of stock, below the price at which they originally bought it. While this is generally not consistent with rational utility maximization, it does reflect two strong empirical regularities…
This paper re-examines the use of response time to infer problem complexity. It revisits a canonical Wald model of optimal stopping, taking signal-to-noise ratio as a measure of problem complexity. While choice quality is monotone in…
In this paper, we study the optimal multiple stopping problem under the filtration consistent nonlinear expectations. The reward is given by a set of random variables satisfying some appropriate assumptions rather than an RCLL process. We…
We consider a class of discretionary stopping problems within the $G$-framework. We first establish the well-definedness of the stopping problem under the $G$-expectation, by showing the quasi-continuity of the stopped process. We then…
An important but understudied question in economics is how people choose when facing uncertainty in the timing of events. Here we study preferences over time lotteries, in which the payment amount is certain but the payment time is…
We investigate feedback control of linear quantum systems subject to feedback-loop time delays. In particular, we examine the relation between the potentially achievable control performance and the time delays, and provide theoretical…
In practical applications, data is used to make decisions in two steps: estimation and optimization. First, a machine learning model estimates parameters for a structural model relating decisions to outcomes. Second, a decision is chosen to…
In this paper we introduce a new procedure to solve nonlinear optimal control problems with delays which exploits indirect methods combined with numerical homotopy procedures. It is known that solving this kind of problems via indirect…
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
While LLMs have seen substantial improvement in reasoning capabilities, they also sometimes overthink, generating unnecessary reasoning steps, particularly under uncertainty, given ill-posed or ambiguous queries. We introduce statistically…
We build on a recently proposed method for explaining solutions of constraint satisfaction problems. An explanation here is a sequence of simple inference steps, where the simplicity of an inference step is measured by the number and types…
Physical systems driven away from equilibrium by an external controller dissipate heat to the environment; the excess entropy production in the thermal reservoir can be interpreted as a "cost" to transform the system in a finite time. The…