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We develop an approach to solve Barberis (2012)'s casino gambling model in which a gambler whose preferences are specified by the cumulative prospect theory (CPT) must decide when to stop gambling by a prescribed deadline. We assume that…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…
Devising efficient algorithms that track the optimizers of continuously varying convex optimization problems is key in many applications. A possible strategy is to sample the time-varying problem at constant rate and solve the resulting…
In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous…
This paper proposes and investigates an optimal pair investment/pension policy for a pay-as-you-go (PAYG) pension scheme. The social planner can invest in a buffer fund in order to guarantee a minimal pension amount. The model aims at…
Fluid approximation is a widely used approach for solving two-stage stochastic optimization problems, with broad applications in service system design such as call centers and healthcare operations. However, replacing the underlying random…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
Most clinical prediction studies are developed from retrospective cohorts and reported as if all patient information were observed at once. In practice, clinicians face a more consequential question: \emph{when is there already enough…
A discrete time quantum walk is considered in which the step lengths are chosen to be either $1$ or $2$ with the additional feature that the walker is persistent with a probability $p$. This implies that with probability $p$, the walker…
In this work, we introduce a personalised and age-specific Net Benefit function, composed of benefits and costs, to recommend optimal timing of risk assessments for cardiovascular disease prevention. We extend the 2-stage landmarking model…
We introduce a model of interacting random walkers on a finite one dimensional chain with absorbing boundaries or targets at the ends. Walkers are of two types: informed particles that move ballistically towards a given target, and…
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly…
Reasoning models have demonstrated exceptional performance in tasks such as mathematics and logical reasoning, primarily due to their ability to engage in step-by-step thinking during the reasoning process. However, this often leads to…
This thesis mainly focuses on two problems in capital structure and individual's life-cycle portfolio choice. In the first problem, we derive a stochastic control model to optimize banks' dividend and recapitalization policies and calibrate…
In this paper, we consider a hierarchical control problem with model uncertainty. Specifically, we consider the following objectives that we would like to accomplish. The first one being of a controllability-type that consists of…
This paper analyzes the use of variable speed limits to optimize travel time reliability for commuters. The investigation focuses on a traffic corridor with a bottleneck subject to the capacity drop phenomenon. The optimization criterion is…
We are living in an uncertain and dynamically changing world, where optimal decision-making under uncertainty is directly linked to the survival of species. However, evolutionary selection pressures that shape value-based decision-making…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
Suboptimal methods in optimal control arise due to a limited computational budget, unknown system dynamics, or a short prediction window among other reasons. Although these methods are ubiquitous, their transient performance remains…
We study correlations in temporal networks and introduce the notion of betweenness preference. It allows to quantify to what extent paths, existing in time-aggregated representations of temporal networks, are actually realizable based on…