Related papers: Robust Monopoly Regulation
I study the optimal regulation of a financial sector where individual banks face self-enforcing constraints countering their default incentives. The constrained-efficient social planner can improve over the unregulated equilibrium in two…
While $\mathcal{H}_\infty$ methods can introduce robustness against worst-case perturbations, their nominal performance under conventional stochastic disturbances is often drastically reduced. Though this fundamental tradeoff between…
I study the optimal allocation of positional goods in the presence of externalities arising from consumers' concerns about relative consumption. Applications include luxury goods, priority services, education, and organizational…
We consider a system that is exactly controllable. For given initial state, terminal state and objective function, an optimal control is often well-defined. Such an optimal control has the disadvantage that although it works perfectly well…
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…
What should regulators of complex algorithms regulate? We propose a model of oversight over 'black-box' algorithms used in high-stakes applications such as lending, medical testing, or hiring. In our model, a regulator is limited in how…
We study how market segmentation affects consumers when a monopolist can adjust both prices and product qualities across segments, engaging in second- and third-degree price discrimination simultaneously. We characterize the…
This paper investigates the impacts of competition in autonomous mobility-on-demand systems. By adopting a network-flow based formulation, we first determine the optimal strategies of profit-maximizing platform operators in monopoly and…
We consider a model of bilateral trade with private values. The value of the buyer and the cost of the seller are jointly distributed. The true joint distribution is unknown to the designer, however, the marginal distributions of the value…
We study the robust sequential screening problem of a monopolist seller of multiple cloud computing services facing a buyer who has private information about his demand distribution for these services. At the time of contracting, the buyer…
This paper examines whether one can learn to play an optimal action while only knowing part of true specification of the environment. We choose the optimal pricing problem as our laboratory, where the monopolist is endowed with an…
This paper deals with a problem of production planning, which is a version of the capacitated single-item lot sizing problem with backordering under demand uncertainty, modeled by uncertain cumulative demands. The well-known interval…
As data marketplaces become increasingly central to the digital economy, it is crucial to design efficient pricing mechanisms that optimize revenue while ensuring fair and adaptive pricing. We introduce the Maximum Auction-to-Posted Price…
Herding, where investors imitate others' decisions rather than relying on their own analysis, is a prevalent phenomenon in financial markets. Excessive herding distorts rational decisions, amplifies volatility, and can be exploited by…
We study a repeated trading problem in which a mechanism designer facilitates trade between a single seller and multiple buyers. Our model generalizes the classic bilateral trade setting to a multi-buyer environment. Specifically, the…
In optimal control problems, disturbances are typically dealt with using robust solutions, such as H-infinity or tube model predictive control, that plan control actions feasible for the worst-case disturbance. Yet, planning for every…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…
We investigate the problem of practical output regulation, i.e., to design a controller that brings the system output in the vicinity of a desired target value while keeping the other variables bounded. We consider uncertain systems that…
In this paper, we solve the multiple product price optimization problem under interval uncertainties of the price sensitivity parameters in the demand function. The objective of the price optimization problem is to maximize the overall…
This article aims to introduce the paradigm of distributional robustness from the field of convex optimization to tackle optimal design problems under uncertainty. We consider realistic situations where the physical model, and thereby the…