Related papers: Interpolating between matching and hedonic pricing…
A dynamic bipartite matching model is given by a bipartite matching graph which determines the possible matchings between the various types of supply and demand items. Both supply and demand items arrive to the system according to a…
The predict-then-optimize framework arises in a wide variety of applications where the unknown cost coefficients of an optimization problem are first predicted based on contextual features and then used to solve the problem. In this work,…
We study the structural properties of multi-period martingale optimal transport (MOT). We develop new tools to address these problems, and use them to prove several uniqueness and structural results on three-period martingale optimal…
This paper investigates the optimal transport problem within the framework of Linear Quadratic optimal control systems. We establish the well-posedness of the Monge problem and analyze the regularity of the resulting optimal transport map,…
The mathematical modeling of numerous real-world applications results in hierarchical optimization problems with two decision makers where at least one of them has to solve an optimal control problem of ordinary or partial differential…
We study the two-sided stable matching problem with one-sided uncertainty for two sets of agents A and B, with equal cardinality. Initially, the preference lists of the agents in A are given but the preferences of the agents in B are…
This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for the dual objective in many applications in operations…
Results from the communication complexity literature have demonstrated that stable matching requires communication: one cannot find or verify a stable match without having access to essentially all of the ordinal preference information held…
Optimal transport has become part of the standard quantitative economics toolbox. It is the framework of choice to describe models of matching with transfers, but beyond that, it allows to: extend quantile regression; identify discrete…
We consider an optimal transportation problem with more than two marginals. We use a family of semi-Riemannian metrics derived from the mixed, second order partial derivatives of the cost function to provide upper bounds for the dimension…
This paper studies matching markets in the presence of middlemen. In our framework, a buyer-seller pair may either trade directly or use the services of a middleman; and a middleman may serve multiple buyer-seller pairs. Direct trade…
In this paper, we study the pickup and delivery problem with multiple transportation modalities, and address the challenge of efficiently allocating transportation resources while price matching users with their desired delivery modes. More…
This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…
We focus on the one-to-one two-sided matching model with two disjoint sets of agents of equal size, where each agent in a set has preferences on the agents in the other set modeled by a linear order. A matching mechanism associates a set of…
We study a bilateral trade problem where a principal has private information that is revealed with delay, such as a seller who does not yet know her production cost. Postponing the contracting process incurs a costly delay, while early…
Two-sided matching platforms provide users with menus of match recommendations. To maximize the number of realized matches between the two sides (referred here as customers and suppliers), the platform must balance the inherent tension…
We study bilateral trade with interdependent values as an informed-principal problem. The mechanism-selection game has multiple equilibria that differ with respect to principal's payoff and trading surplus. We characterize the equilibrium…
The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only…
When approximating a function that depends on a parameter, one encounters many practical examples where linear interpolation or linear approximation with respect to the parameters prove ineffective. This is particularly true for responses…
We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated "Arbitrage Pricing Model", we use probabilistic and functional analytic techniques to show the existence of optimal…