Related papers: Ergodicity-breaking reveals time optimal decision …
This paper investigates performance guarantees on coverage-based ergodic exploration methods in environments containing disturbances. Ergodic exploration methods generate trajectories for autonomous robots such that time spent in each area…
When an individual's behavior has rational characteristics, this may lead to irrational collective actions for the group. A wide range of organisms from animals to humans often evolve the social attribute of cooperation to meet this…
Cultures around the world show varying levels of conservatism. While maintaining traditional ideas prevents wrong ones from being embraced, it also slows or prevents adaptation to new times. Without exploration there can be no improvement,…
Nature is in constant flux, so animals must account for changes in their environment when making decisions. How animals learn the timescale of such changes and adapt their decision strategies accordingly is not well understood. Recent…
Evolutionary game dynamics describes not only frequency dependent genetical evolution, but also cultural evolution in humans. In this context, successful strategies spread by imitation. It has been shown that the details of strategy update…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…
This paper builds a rule for decisionmaking from the physical behavior of single neurons, the well established neural circuitry of mutual inhibition, and the evolutionary principle of natural selection. No axioms are used in the derivation…
A classical portfolio theory deals with finding the optimal proportion in which an agent invests a wealth in a risk-free asset and a probabilistic risky asset. Formulating and solving the problem depend on how the risk is represented and…
Ergodicity is a fundamental requirement for a dynamical system to reach a state of statistical equilibrium. On the other hand, it is known that in slow-fast systems ergodicity of the fast sub- system impedes the equilibration of the whole…
In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
Time series often exhibit non-ergodic behaviour that complicates forecasting and inference. This article proposes a likelihood-based approach for estimating ergodicity transformations that addresses such challenges. The method is broadly…
This paper describes a novel approach to planning which takes advantage of decision theory to greatly improve robustness in an uncertain environment. We present an algorithm which computes conditional plans of maximum expected utility. This…
Although financial models violate ergodicity in general, observing the ergodic behavior in the markets is not rare. Policymakers and market participants control the market behavior in critical and emergency states, which leads to some…
We propose a set of conservative models in which agents exchange wealth with a preference in the choice of interacting agents in different ways. The common feature in all the models is that the temporary values of financial status of agents…
In business, politics and life, folk wisdom encourages people to aim for above-average results, but to not let the perfect be the enemy of the good. Here, we mathematically formalize and extend this folk wisdom. We model a time-limited…
This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…
The random utility model (RUM, McFadden and Richter, 1990) has been the standard tool to describe the behavior of a population of decision makers. RUM assumes that decision makers behave as if they maximize a rational preference over a…
Motivated by applications where impatience is pervasive and evaluation times are uncertain, we study a selection model where options may expire at an unknown point in time and evaluation times are stochastic. Initially, the decision-maker…
Behavioral experiments on the Ultimatum Game have shown that we human beings have remarkable preference in fair play, contradicting the predictions by the game theory. Most of the existing models seeking for explanations, however, strictly…
This paper introduces a novel stochastic control framework to enhance the capabilities of automated investment managers, or robo-advisors, by accurately inferring clients' investment preferences from past activities. Our approach leverages…