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In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…

We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading. When the trader creates an instantaneous…

For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…

A perfectly rational decision-maker chooses the best action with the highest utility gain from a set of possible actions. The optimality principles that describe such decision processes do not take into account the computational costs of…

Waiting times in a business process often arise when a case transitions from one activity to another. Accordingly, analyzing the causes of waiting times of activity transitions can help analysts to identify opportunities for reducing the…

The paper is concerned with a zero-sum differential game in the case where a payoff is determined by the exit time, that is, the first time when the system leaves the game domain. Additionally, we assume that a part of domain's boundary is…

Obtaining a viable schedule baseline that meets all project constraints is one of the main issues for project managers. The literature on this topic focuses mainly on methods to obtain schedules that meet resource restrictions and, more…

An efficient approach to the calculation of the $\epsilon$-entropy is proposed. The method is based on the idea of looking at the information content of a string of data, by analyzing the signal only at the instants when the fluctuations…

We consider mixed-integer optimal control problems with combinatorial constraints that couple over time such as minimum dwell times. We analyze a lifting and decomposition approach into a mixed-integer optimal control problem without…

We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…

In this paper, we study a continuous-time discounted jump Markov decision process with both controlled actions and observations. The observation is only available for a discrete set of time instances. At each time of observation, one has to…

It is shown in this work that the average individual egress time and other performance indicators for egress of people from a building can be improved under certain circumstances if counterflow occurs. The circumstances include widely…

Consider a dynamic decision-making scenario where at every stage the investor has to choose between investing in one of two projects or gathering more information. At each stage, the investor may seek counsel from one of several…

We consider an investment problem in which an investor performs capital injections to increase the liquidity of a firm for it to maximise profit from market operations. Each time the investor performs an injection, the investor incurs a…

We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$. We consider classic and randomized stopping times represented by…

We study the excludable public project model where the decision is binary (build or not build). In a classic excludable and binary public project model, an agent either consumes the project in its whole or is completely excluded. We study a…

In this paper, we consider sequential dynamic team decision problems with nonclassical information structures. First, we address the problem from the point of view of a ``manager" who seeks to derive the optimal strategy of the team in a…

Autonomous robotic exploration has long attracted the attention of the robotics community and is a topic of high relevance. Deploying such systems in the real world, however, is still far from being a reality. In part, it can be attributed…

We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…

In this article, a general problem of sequential statistical inference for general discrete-time stochastic processes is considered. The problem is to minimize an average sample number given that Bayesian risk due to incorrect decision does…