Related papers: Intertemporal Price Discrimination with Time-Varyi…

We consider a practically motivated variant of the canonical online fair allocation problem: a decision-maker has a budget of perishable resources to allocate over a fixed number of rounds. Each round sees a random number of arrivals, and…

In the context of nonlinear prices, the empirical evidence suggests that the consumers have cognitive biases represented in a limited understanding of nonlinear price structures, and they respond to some alternative perceptions of the…

We consider an intermediary's problem of dynamically matching demand and supply of heterogeneous types in a periodic-review fashion. More specifically, there are two disjoint sets of demand and supply types, and a reward associated with…

This paper studies the expected value of multiplicative rewards, where rewards obtained in each step are multiplied (instead of the usual addition), in Markov chains (MCs) and Markov decision processes (MDPs). One of the key differences to…

Delayed outcomes are ubiquitous in online experimentation. When such a temporal dimension is present, treatment influences not only the outcome value but also the outcome timing, which can move in opposite directions. Motivated by the…

We study a problem of an online retailer who observes the unit sales of a product, and dynamically changes the retail price, in order to maximize the expected revenue. Assuming the demand of the product is price sensitive, we are interested…

Online platforms increasingly rely on sequential decision-making algorithms to allocate resources, match users, or control exposure, while facing growing pressure to ensure fairness over time. We study a general online decision-making…

Potential buyers of a product or service, before making their decisions, tend to read reviews written by previous consumers. We consider Bayesian consumers with heterogeneous preferences, who sequentially decide whether to buy an item of…

We derive a revenue-maximizing scheme that charges customers who are homogeneous with respect to their waiting cost parameter for a random fee in order to become premium customers. This scheme incentivizes all customers to purchase…

Personalized pricing, which involves tailoring prices based on individual characteristics, is commonly used by firms to implement a consumer-specific pricing policy. In this process, buyers can also strategically manipulate their feature…

In this paper we consider multidimensional mechanism design problem for selling discrete substitutable items to a group of buyers. Previous work on this problem mostly focus on stochastic description of valuations used by the seller.…

We consider a Markovian single server queue with impatient customers. There is a customer abandonment cost and a holding cost for customers in the system. We consider two versions of the problem. In the first version, customers pay a reward…

In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…

Data regulations increasingly enable consumers to switch among market segments, making segmentation an endogenous outcome of strategic interaction. We study a model in which consumers choose segments before a monopolist sets…

Understanding how people actually trade off time for money is perhaps the major question in the field of time discounting. There is indeed a vast body of work devoted to explore the underlying mechanisms of the individual decision making…

The goal of this paper is to study a distributed version of the gradient temporal-difference (GTD) learning algorithm for a class of multi-agent Markov decision processes (MDPs). The temporal-difference (TD) learning is a reinforcement…

As a firm varies the price of a product, consumers exhibit reference effects, making purchase decisions based not only on the prevailing price but also the product's price history. We consider the problem of learning such behavioral…

A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem,inherently in a finite time horizon.…

We consider stopping problems in which a decision maker (DM) faces an unknown state of nature and decides sequentially whether to stop and take an irreversible action; pay a fee and obtain additional information; or wait without acquiring…

This paper proposes a method for estimating consumer preferences among discrete choices, where the consumer chooses at most one product in a category, but selects from multiple categories in parallel. The consumer's utility is additive in…