Related papers: Optimal Selection of Transaction Costs in a Dynami…

This paper considers the hidden-action model of the principal-agent problem, in which a principal incentivizes an agent to work on a project using a contract. We investigate whether contracts with bounded payments are learnable and…

We consider the impulse control of Levy processes under the infinite horizon, discounted cost criterion. Our motivating example is the cash management problem in which a controller is charged a fixed plus proportional cost for adding to or…

We study a ubiquitous learning challenge in online principal-agent problems during which the principal learns the agent's private information from the agent's revealed preferences in historical interactions. This paradigm includes important…

The study of motility control by smart agents offers a promising platform for systematically exploring the fundamental physical constraints underlying the functioning of bio-inspired micro-machines operating far from equilibrium. Here, we…

We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…

The design of integrated mobility-on-demand services requires jointly considering the interactions between traveler choice behavior and operators' operation policies to design a financially sustainable pricing scheme. However, most existing…

Recent technology advances have enabled firms to flexibly process and analyze sophisticated employee performance data at a reduced and yet significant cost. We develop a theory of optimal incentive contracting where the monitoring…

This paper is concerned with the problem of designing agents able to dynamically select information from multiple data sources in order to tackle tasks that involve tracking a target behavior while optimizing a reward. We formulate this…

We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…

A significant portion of a consumer's annual electrical costs can be made up of coincident peak charges: a transmission surcharge for power consumed when the entire system is at peak demand. This charge occurs only a few times annually, but…

We consider an outsourcing problem where a software agent procures multiple services from providers with uncertain reliabilities to complete a computational task before a strict deadline. The service consumer requires a procurement strategy…

Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…

We consider a dynamic moral hazard problem between a principal and an agent, where the sole instrument the principal has to incentivize the agent is the disclosure of information. The principal aims at maximizing the (discounted) number of…

As a metric to measure the performance of an online method, dynamic regret with switching cost has drawn much attention for online decision making problems. Although the sublinear regret has been provided in many previous researches, we…

The problem of computing near-optimal contracts in combinatorial settings has recently attracted significant interest in the computer science community. Previous work has provided a rich body of structural and algorithmic insights into this…

We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…

Transaction costs play a critical role in asset allocation and consumption strategies in portfolio management. We apply the methods of dynamic programming and singular perturbation expansion to derive the closed-form leading solutions to…

This paper introduces a formal method to model the level of demand on control when executing cognitive processes. The cost of cognitive control is parsed into an intensity cost which encapsulates how much additional input information is…

How to compute (super) hedging costs in rather general fi- nancial market models with transaction costs in discrete-time ? Despite the huge literature on this topic, most of results are characterizations of the super-hedging prices while it…

In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…