Related papers: Executive stock option exercise with full and part…
Reaching agreement despite noise in communication is a fundamental problem in multi-agent systems. Here we study this problem under an idealized model, where it is assumed that agents can sense the general tendency in the system. More…
Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general,…
We address the problem of learning observation models end-to-end for estimation. Robots operating in partially observable environments must infer latent states from multiple sensory inputs using observation models that capture the joint…
We document a high-performing cross-sectional equity factor that achieves out-of-sample Sharpe ratios above 13 through regime-conditional signal activation. The strategy combines value and short-term reversal signals only during…
We formalize the paradox of an omniscient yet lazy investor - a perfectly informed agent who trades infrequently due to execution or computational frictions. Starting from a deterministic geometric construction, we derive a closed-form…
This study investigates an optimal consumption--investment problem in which the unobserved stock trend is modulated by a hidden Markov chain that represents different economic regimes. In the classical approach, the hidden state is…
The scope of this paper is to study the optimal stopping problems associated to a stochastic process, which may represent the gain of an investment, for which information on the final value is available a priori. This information may…
We derive closed-form solutions to the optimal stopping problems related to the pricing of perpetual American standard and lookback put and call options in the extensions of the Black-Merton-Scholes model with progressively enlarged…
We study the occupation fluctuations of drifted Brownian motion in a closed interval, and show that they undergo a dynamical phase transition in the long-time limit without an additional low-noise limit. This phase transition is similar to…
This paper investigates a financial market where returns depend on an unobservable Gaussian drift process. While the observation of returns yields information about the underlying drift, we also incorporate discrete-time expert opinions as…
This paper considers a problem where multiple users make repeated decisions based on their own observed events. The events and decisions at each time step determine the values of a utility function and a collection of penalty functions. The…
This article studies the problem of evaluating the information that a Principal lacks when establishing an incentive contract with an Agent whose effort is not observable. The Principal ("she") pays a continuous rent to the Agent ("he"),…
Even the AI has been widely used and significantly changed our life, deploying the large AI models on resource limited edge devices directly is not appropriate. Thus, the model split inference is proposed to improve the performance of edge…
We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…
In this paper, we consider the distribution-dependent SDE driven by fractional Brownian motion with small noise and study the rate of Fisher information convergence in the central limit theorem for the solution of SDE, then we show that the…
This paper studies the question of filtering and maximizing terminal wealth from expected utility in a partially information stochastic volatility models. The special features is that the only information available to the investor is the…
This paper presents a derivation of the explicit price for the perpetual American put option in the Black-Scholes model, time-capped by the first drawdown epoch beyond a predefined level. We demonstrate that the optimal exercise strategy…
In this paper, we study the portfolio utility maximization in the case where the risky asset is driven by a Brownian motion and an independent homogeneous Poisson measure, with strategies that may include jump signals. This means that the…
Herein, minimization of time-averaged age-of-information (AoI) in an energy harvesting (EH) source setting is considered. The EH source opportunistically samples one or multiple processes over discrete time instants and sends the status…
Motivated by the experimental observation [1] that driving a non-interacting Bose gas in a 3D box with weak disorder leads to power-law energy growth, $E \propto t^{\eta}$ with $\eta=0.46(2)$, and compressed-exponential momentum…