Related papers: Optimal Stopping under Model Ambiguity: a Time-Con…
Understanding adaptive human driving behavior, in particular how drivers manage uncertainty, is of key importance for developing simulated human driver models that can be used in the evaluation and development of autonomous vehicles.…
We study the experimentation dynamics of a decision maker (DM) in a two-armed bandit setup (Bolton and Harris (1999)), where the agent holds ambiguous beliefs regarding the distribution of the return process of one arm and is certain about…
This paper investigates the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset's drift term and updates the subjective belief according to the…
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
We consider the impact of ambiguity on the optimal timing of a class of two-dimensional integral option contracts when the exercise payoff is a positively homogeneous measurable function. Hence, the considered class of exercise payoffs…
We consider optimal design of infinite-dimensional Bayesian linear inverse problems governed by partial differential equations that contain secondary reducible model uncertainties, in addition to the uncertainty in the inversion parameters.…
Classical deterministic optimal control problems assume full information about the controlled process. The theory of control for general partially-observable processes is powerful, but the methods are computationally expensive and typically…
We present an algorithm for robust model predictive control with consideration of uncertainty and safety constraints. Our framework considers a nonlinear dynamical system subject to disturbances from an unknown but bounded uncertainty set.…
We consider the game-theoretic approach to time-inconsistent stopping of a one-dimensional diffusion where the time-inconsistency is due to the presence of a non-exponential (weighted) discount function. In particular, we study (weak)…
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and…
An optimal control problem for the continuity equation is considered. The aim of a "controller" is to maximize the total mass within a target set at a given time moment. The existence of optimal controls is established. For a particular…
We consider control of uncertain linear time-varying stochastic systems from the perspective of regret minimization. Specifically, we focus on the problem of designing a feedback controller that minimizes the loss relative to a clairvoyant…
Model Predictive Control (MPC) has proven to be a powerful tool for the control of systems with constraints. Nonetheless, in many applications, a major challenge arises, that is finding the optimal solution within a single sampling instant…
We construct subgame-perfect equilibria with mixed strategies for symmetric stochastic timing games with arbitrary strategic incentives. The strategies are qualitatively different for local first- or second-mover advantages, which we…
The stable combination of optimal feedback policies with online learning is studied in a new control-theoretic framework for uncertain nonlinear systems. The framework can be systematically used in transfer learning and sim-to-real…
We introduce a simple stochastic volatility model, whose novelty consists in taking into account hitting times of the asset price, and study the optimal stopping problem corresponding to a put option whose time horizon (after the asset…
Present bias, the tendency to overvalue immediate rewards while undervaluing future ones, is a well-known barrier to achieving long-term goals. As artificial intelligence and behavioral economics increasingly focus on this phenomenon, the…
In this paper, problems of optimal control are considered where in the objective function, in addition to the control cost there is a tracking term that measures the distance to a desired stationary state. The tracking term is given by some…
This work presents a new sufficient condition for synthesizing nonlinear controllers that yield bounded closed-loop tracking error transients despite the presence of unmatched uncertainties that are concurrently being learned online. The…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…