Related papers: Stochastic Dynamic Utilities and Inter-Temporal Pr…
Energy-efficient real-time task scheduling has been actively explored in the past decade. Different from the past work, this paper considers schedulability conditions for stochastic real-time tasks. A schedulability condition is first…
The (static) utility maximization model of Afriat (1967), which is the standard in analysing choice behavior, is under scrutiny. We propose the Dynamic Random Utility Model (DRUM) that is more flexible than the framework of Afriat (1967)…
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a…
This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation $\succeq$ on the space $\tilde{V}$ of random variables induces an ambiguity index $c$ on the space…
People often face trade-offs between costs and benefits occurring at various points in time. The predominant discounting approach is to use the exponential form. Central to this approach is the discount rate, a unique parameter that…
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…
A smart grid connects wind or solar or storage farms, fossil fuel plants, industrialor commercial loads, or load serving entities, modeled as stochastic dynamical systems. In each time period, they consume or supply electrical energy, with…
Classical recommender systems often assume that historical data are stationary and fail to account for the dynamic nature of user preferences, limiting their ability to provide reliable recommendations in time-sensitive settings. This…
We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic…
This paper introduces a strategic planning tool for master-planned communities designed specifically to quantify residents' subjective preferences about large investments in amenities and infrastructure projects. Drawing on data obtained…
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…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
We consider stochastic thermodynamics as a theory of statistical inference for experimentally observed fluctuating time-series. To that end, we introduce a general framework for quantifying the knowledge about the dynamical state of the…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
We develop a nonparametric approach to identify and estimate consumer preferences and unobserved heterogeneity under nonlinear price schedules. Leveraging variation across multiple price schedules, we show that both the utility function and…
We study the dynamic indifference pricing with ambiguity preferences. For this, we introduce the dynamic expected utility with ambiguity via the nonlinear expectation--G-expectation, introduced by Peng (2007). We also study the risk…
We consider "time-of-use" pricing as a technique for matching supply and demand of temporal resources with the goal of maximizing social welfare. Relevant examples include energy, computing resources on a cloud computing platform, and…
Decision theory does not traditionally include uncertainty over utility functions. We argue that the a person's utility value for a given outcome can be treated as we treat other domain attributes: as a random variable with a density…
This paper considers appointment scheduling in a setting in which at every client arrival the schedule of all future clients can be adapted. Starting our analysis with an explicit treatment of the case of exponentially distributed service…
We provide an axiomatic characterization of lexicographic preferences over the set of all random availability functions using two assumptions. The first assumption is strong monotonicity, which in our framework is equivalent to the strong…