Related papers: Time-consistent decisions and rational expectation…
In this paper, it is shown that a simple formulation of Economic Model Predictive Control can be used which possesses two features that are generally viewed as mutually exclusive, namely, a rather short prediction horizon…
Ordinary and stochastic differential equations (ODEs and SDEs) are widely used to model continuous-time processes across various scientific fields. While ODEs offer interpretability and simplicity, SDEs incorporate randomness, providing…
This position paper argues that the theoretical inconsistency often observed among Responsible AI (RAI) metrics, such as differing fairness definitions or tradeoffs between accuracy and privacy, should be embraced as a valuable feature…
In control theory, typically a nominal model is assumed based on which an optimal control is designed and then applied to an actual (true) system. This gives rise to the problem of performance loss due to the mismatch between the true model…
Many algorithms have been proposed in prior literature to guarantee resilient multi-agent consensus in the presence of adversarial attacks or faults. The majority of prior work present excellent results that focus on discrete-time or…
This paper develops a design-first econometric framework for event-study and difference-in-differences estimands under staggered adoption with heterogeneous effects, emphasising (i) exact probability limits for conventional two-way fixed…
We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex and the the variable control has two components, the first being absolutely continuous and the second singular. The system is…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…
Energy imbalance reserve (EIR) product is introduced into the Independent System Operator (ISO) of New England's day-ahead wholesale electricity market to provide a better fuel procurement incentive for generating resources. Different from…
For time-inconsistent stochastic controls in discrete time and finite horizon, an open problem in Bj\"ork and Murgoci (Finance Stoch, 2014) is the existence of an equilibrium control. A nonrandomized Borel measurable Markov equilibrium…
In this paper, we study the doubly conditional reflected backward stochastic differential equations (BSDEs), where constraints are made on the conditional expectation of the first component of the solution with respect to a general…
In this paper we study stochastic dynamic games with many players; these are a fundamental model for a wide range of economic applications. The standard solution concept for such games is Markov perfect equilibrium (MPE), but it is well…
The East model has a dynamical phase transition between an active (fluid) and inactive (glass) state. We show that this phase transition generalizes to "softened" systems where constraint violations are allowed with small but finite…
A new emergence mechanism related to the human fuzzy rationality is considered. It assumes that individuals (operators) governing the dynamics of a certain system try to follow an optimal strategy in controlling its motion but fail to do…
This paper addresses the challenge of time-inconsistent stochastic control within a continuous-time framework. Its primary focus lies in uncovering a probabilistic representation, specifically in the shape of a system of backward stochastic…
We show that, with indivisible goods, the existence of competitive equilibrium fundamentally depends on agents' substitution effects, not their income effects. Our Equilibrium Existence Duality allows us to transport results on the…
Most of the stochastic orders for comparing random variables, considered in the literature, are afflicted with two main drawbacks: (i) lack of connex property and (ii) lack of consideration of any dependence structure between the random…
The existence of the {\em typical set} is key for data compression strategies and for the emergence of robust statistical observables in macroscopic physical systems. Standard approaches derive its existence from a restricted set of…
The time-changing nature of our world demands processing of huge amounts of information in fast and reliable way to generate successful behaviors. Therefore, significant brain resources are devoted to process spatiotemporal information.…
Many of the requirements engineering (RE) difficulties have been argued to be due to the evolving nature of design problems in dynamic environments, characterized by high levels of uncertainty, ambiguity and emergence. It has also been…