Related papers: Investment Timing and Technological Breakthroughs
We consider a hidden Markov model with multiple observation processes, one of which is chosen at each point in time by a policy---a deterministic function of the information state---and attempt to determine which policy minimises the…
We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…
We consider a piecewise deterministic Markov decision process, where the expected exponential utility of total (nonnegative) cost is to be minimized. The cost rate, transition rate and post-jump distributions are under control. The state…
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market model due to general investment portfolio constraints. We…
A decision maker records measurements of a finite-state Markov chain corrupted by noise. The goal is to decide when the Markov chain hits a specific target state. The decision maker can choose from a finite set of sampling intervals to pick…
We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset, governed by the Black-Scholes equation. There is a…
Breakability rate of fragile item depends on the accumulated stress of heaped stock level. So breakablility rate can be considered as dependent parameter of stock variable. The unit production cost is a function of production rate and also…
This paper considers a Markov decision model for profit maximization of a cloud computing service provider catering to customers submitting jobs with firm real-time random deadlines. Customers are charged on a per-job basis, receiving a…
We investigate investors voluntary disclosure decisions under uncertainty about their information endowment (Dye 1985). In our model, an investor may receive initial evidence about a target firm. Conditional on learning the initial…
We consider the problem of optimally designing a system for repeated use under uncertainty. We develop a modeling framework that integrates design and operational phases, which are represented by a mixed-integer program and discounted-cost…
We consider a transmitter-receiver pair in a slotted-time system. The transmitter observes a dynamic source and sends updates to a remote receiver through an error-free communication channel that suffers a random delay. We consider two…
Despite several scientific achievements in the last years, there are still a lot of IT projects that fail. Researchers found that one out of five IT-projects run out of time, budget or value. Major reasons for this failure are unexpected…
This paper shows how data science can contribute to improving empirical research in economics by leveraging on large datasets and extracting information otherwise unsuitable for a traditional econometric approach. As a test-bed for our…
Preliminary evidence on the long--run trajectory of the accelerator industry suggests that it may be close to the maturity phase of its cycle. If this is the case, how can we measure the benefits of an uncertain breakthrough in acceleration…
We consider a stochastic model of investment on an asset of a stock market for a prudent investor. She decides to buy permanent goods with a fraction $\a$ of the maximum amount of money owned in her life in order that her economic level…
This paper explores the optimal investment problem of a renewal risk model with generalized Erlang distributed interarrival times. The phases of the Erlang interarrival time is assumed to be observable. The price of the risky asset is…
In this paper we continue investigating the optimal dividend and investment problems under the Sparre Andersen model. More precisely, we assume that the claim frequency is a renewal process instead of a standard compound Poisson process,…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…
This study explores the relationship between R&D intensity, as a measure of innovation, and financial performance among S&P 500 companies over 100 quarters from 1998 to 2023, including multiple crisis periods. It challenges the conventional…
Decision making in modern stochastic systems, including e-commerce platforms, financial markets and healthcare systems, has evolved into a multifaceted process that combines information acquisition and adaptive information sources. This…