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This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…
This paper considers a time-varying optimization problem associated with a network of systems, with each of the systems shared by (and affecting) a number of individuals. The objective is to minimize cost functions associated with the…
For safety reasons, it is important that the design of buildings and public facilities comply with the guidelines compiled in building codes.The latter are often premised on the concept of exit capacity, \emph{i.e.}, the mean pedestrian…
We introduce the concept of forward rank-dependent performance processes, extending the original notion to forward criteria that incorporate probability distortions. A fundamental challenge is how to reconcile the time-consistent nature of…
This paper presents an event-driven way finding algorithm for pedestrians in an evacuation scenario, which operates on a graph-based structure. The motivation of each pedestrian is to leave the facility. The events used to redirect…
We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives, exit and expansion. In our model, a firm undertakes a small-scale…
This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability distortion. The investor concerns about the terminal…
A decision-maker periodically acquires information about a changing state, controlling both the timing and content of updates. I characterize optimal policies using a decomposition of the dynamic problem into optimal stopping and static…
This study investigates three central questions in portfolio optimization. First, whether time-varying moment estimators outperform conventional sample estimators in practical portfolio construction. Second, whether incorporating a turnover…
We propose a pairs trading model that incorporates a time-varying volatility of the Constant Elasticity of Variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two…
The long waiting time at airport security has become an emergent issue as demand for air travel continues to grow. Not only does queuing at security cause passengers to miss their flights, but also reduce the amount of time passengers spend…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal…
To better design safe and comfortable urban spaces, understanding the nature of human crowd movement is important. However, precise interactions among pedestrians are difficult to measure in the presence of their complex decision-making…
Humans experience small fluctuations in their gait when walking on uneven terrain. The fluctuations deviate from the steady, energy-minimizing pattern for level walking, and have no obvious organization. But humans often look ahead when…
In this paper, we propose a unified stochastic optimal control framework that integrates time-optimal control problems with classical stochastic optimal control formulations. Unlike conventional deterministic time-optimal control models,…
This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which…
We investigate the scheduling of a common resource between several concurrent users when the feasible transmission rate of each user varies randomly over time. Time is slotted and users arrive and depart upon service completion. This may…