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Motivated by Germany's April 2026 fuel price regulation, in this note I study a two-period pricing problem with demand uncertainty and a rule that prohibits more than one price increase during the day. Under flexible pricing, the firm…
In financial applications, reinforcement learning (RL) agents are commonly trained on historical data, where their actions do not influence prices. However, during deployment, these agents trade in live markets where their own transactions…
This paper proposes a safe reinforcement learning algorithm for generation bidding decisions and unit maintenance scheduling in a competitive electricity market environment. In this problem, each unit aims to find a bidding strategy that…
The frequent occurrence of natural disasters has posed significant challenges to society, necessitating the urgent development of effective risk management strategies. From the early informal community-based risk sharing mechanisms to…
In this paper, we review pricing of variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of…
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its dividend policy and capital structure to maximize the expected…
This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. Extending the framework established by arXiv:2101.09936, we analyze a power-utility maximization…
This paper investigates the form of optimal reinsurance contracts in the case of clusters of losses. The underlying insured risk is represented by a marked Hawkes process, where the intensity of the jumps depends not only on the occurrence…
Inspired by protein folding, we introduce funnels into the complex cost function landscapes of two processes, the tuning of networks, and the jamming of ideal spheres. In both processes, geometrical frustration plays a role -- tuning…
We study the incidental parameter problem for the ``three-way'' Poisson {Pseudo-Maximum Likelihood} (``PPML'') estimator recently recommended for identifying the effects of trade policies and in other panel data gravity settings. Despite…
This paper deals with the problem of accurately determining guaranteed suboptimal values of an unknown cost function on the basis of noisy measurements. We consider a set-valued variant to regression where, instead of finding a best…
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently near a terminal horizon. The investor can…
This paper explores stochastic control models in the context of decarbonization within the energy market. We study three progressively complex scenarios: (1) a single firm operating with two technologies-one polluting and one clean,(2)two…
We study dynamic joint assortment and pricing where a seller updates decisions at regular accounting/operating intervals to maximize the cumulative per-period revenue over a horizon $T$. In many settings, assortment and prices affect not…
We develop a parsimonious model of an e-commerce fulfillment center that offers time-dependent shipment options and corresponding fees to utility-maximizing customers arriving according to a Poisson process. For any such policy, we provide…
This paper presents two new control approaches for guaranteed safety (remaining in a safe set) subject to actuator constraints (the control is in a convex polytope). The control signals are computed using real-time optimization, including…
In this paper we study the single-item revenue management problem, with no information given about the demand trajectory over time. When the item is sold through accepting/rejecting different fare classes, Ball and Queyranne (2009) have…
We consider a version of the continuum armed bandit where an action induces a filtered realisation of a non-homogeneous Poisson process. Point data in the filtered sample are then revealed to the decision-maker, whose reward is the total…
We study a problem of optimal investment/consumption over an infinite horizon in a market consisting of two possibly correlated assets: one liquid and one illiquid. The liquid asset is observed and can be traded continuously, while the…
This paper studies an optimal insurance contracting problem in which the preferences of the decision maker given by the sum of the expected loss and a convex, increasing function of a deviation measure. As for the deviation measure, our…