Related papers: Endogenous Current Coupons
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings. Prior studies of such events fix the level of market…
We study the interdependence between transportation and power systems considering decentralized renewable generators and electric vehicles (EVs). We formulate the problem in a stochastic multi-agent optimization framework considering the…
We consider the problem of dynamic pricing with limited supply. A seller has $k$ identical items for sale and is facing $n$ potential buyers ("agents") that are arriving sequentially. Each agent is interested in buying one item. Each…
Motivated by global warming issues, we consider a time se- ries that consists of a nondecreasing trend observed with station- ary fluctuations, nonparametric estimation of the trend under monotonicity assumption is considered. The rescaled…
Sponsored search auctions are commonly modeled as an assignment of a fixed set of slots (positions) to a set of advertisers, with welfare maximization being reducible to a standard matching problem. Motivated by modern ad formats, we study…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
We consider a general one-factor short rate model, in which the instantaneous interest rate is driven by a univariate diffusion with time independent drift and volatility. We construct recursive formula for the coefficients of the Taylor…
We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…
This paper investigates an issue of distributed fusion estimation under network-induced complexity and stochastic parameter uncertainties. First, a novel signal selection method based on event-trigger is developed to handle network-induced…
This paper introduces a framework for Chance-Constrained Optimization with Complex Variables, addressing complex linear programming for both individual and joint probabilistic constraints in the complex domain. We first analyze the 3CP…
This paper studies the bunching identification strategy for an elasticity parameter that summarizes agents' responses to changes in slope (kink) or intercept (notch) of a schedule of incentives. We show that current bunching methods may be…
The flexibility of choosing the ad action as a function of the consumer state is critical for modern-day marketing campaigns. We study the problem of identifying the optimal sequential personalized interventions that maximize the adoption…
We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…
We study the steady states of a system of cross-diffusion equations arising from the modeling of chemotaxis with local sensing, where the motility is a decreasing function of the concentration of the chemical. In order to capture the many…
This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. The estimation problem is defined over a continuum of invariant distributions…
Our aim is to design mechanisms that motivate all agents to reveal their predictions truthfully and promptly. For myopic agents, proper scoring rules induce truthfulness. However, as has been described in the literature, when agents take…
Empirical economists are often deterred from the application of fixed effects binary choice models mainly for two reasons: the incidental parameter problem and the computational challenge even in moderately large panels. Using the example…
In this work, we consider an inverse problem of determining a time dependent coefficient in a fully fractional diffusion equation with a nonlinear source term. The nonlocal initial-boundary value problem refers to the forward model: the…
In modern advertising platforms, learning algorithms are deployed by budget-constrained bidders to maximize their accumulated value. These algorithms often offer classical utility guarantees like no-regret, i.e., the agent's utility is at…
We consider a variation of the classical proximal-gradient algorithm for the iterative minimization of a cost function consisting of a sum of two terms, one smooth and the other prox-simple, and whose relative weight is determined by a…