Related papers: Time-consistent decisions and rational expectation…

This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…

Organisms and ecological groups accumulate evidence to make decisions. Classic experiments and theoretical studies have explored this process when the correct choice is fixed during each trial. However, we live in a constantly changing…

An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…

We study randomized experiments in a service system when stochastic congestion can arise from temporarily limited supply or excess demand. Such congestion gives rise to cross-unit interference between the waiting customers, and analytic…

Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…

Lie symmetries for ordinary differential equations are studied. In systems of ordinary differential equations, there do not always exist non-trivial Lie symmetries around equilibrium points. We present a necessary condition for existence of…

Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For…

This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…

In this article, we introduce a system of stochastic differential equations (SDEs) consisting of time-dependent covariates and consider both fixed and random effects set-ups. We also allow the functional part associated with the drift…

I introduce a stability notion, dynamic stability, for two-sided dynamic matching markets where (i) matching opportunities arrive over time, (ii) matching is one-to-one, and (iii) matching is irreversible. The definition addresses two…

In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness result, as well as comparison theorems for the solutions, are…

In economics, construction of perfect models in a way that would be comparable to the standards customary in physical sciences is generally not feasible. In particular, the observed value for an economic equilibrium may deviate…

The principle that rational agents should maximize expected utility or choiceworthiness is intuitively plausible in many ordinary cases of decision-making under uncertainty. But it is less plausible in cases of extreme, low-probability risk…

This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…

Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An optimization problem is time consistent if its solution policy does not depend on the time sequence of solving the…

We study a general class of consumption-savings problems with recursive preferences. We characterize the sign of the consumption response to arbitrary shocks in terms of the product of two sufficient statistics: the elasticity of…

This paper presents a systematic approach for analyzing the departure-time choice equilibrium (DTCE) problem of a single bottleneck with heterogeneous commuters. The approach is based on the fact that the DTCE is equivalently represented as…

In this manuscript, we investigate a fractional stochastic neutral differential equation with time delay, which includes both deterministic and stochastic components. Our primary objective is to rigorously prove the existence of a unique…

Dynamical systems that are subject to continuous uncertain fluctuations can be modelled using Stochastic Differential Equations (SDEs). Controlling such system results in solving path constrained SDEs. Broadly, these problems fall under the…

In this paper we introduce the notion of a patient first-mean stable system. Such systems are switched systems that are first-mean stable meaning that they converge to a globally attracting fixed point on average. They are also patient so…