Related papers: Investment Timing and Technological Breakthroughs
We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…
We propose a solution to a time-varying variant of Markov Decision Processes which can be used to address decision-theoretic planning problems for autonomous systems operating in unstructured outdoor environments. We explore the time…
Small-to-medium size enterprises (SMEs), including many startup firms, need to manage interrelated flows of cash and inventories of goods. In this paper, we model a firm that can finance its inventory (ordered or manufactured) with loans in…
Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a different region.…
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an It\^o diffusion process. Since risk attitudes at the end of the investment…
In this paper, we study an investor's optimal entry and exit decisions in a liquid staking protocol (LSP) and an automated market maker (AMM), primarily from the standpoint of the investor. Our analysis focuses on two key investor actions:…
We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero-sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous time on an infinite-time…
In many practical sequential decision-making problems, tracking the state of the environment incurs a sensing/communication/computation cost. In these settings, the agent's interaction with its environment includes the additional component…
This paper studies oligopolistic irreversible investment with closed-loop strategies. These permit fully dynamic interactions that result in much richer strategic behavior than previous studies with open-loop strategies allow. The tradeoff…
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.…
In this paper, we use a Markov decision process to find optimal asynchronous policy of an energy-efficient data center with two groups of heterogeneous servers, a finite buffer, and a fast setup process at sleep state. Servers in Group 1…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
This paper presents an axiomatic approach to finite Markov decision processes where the discount rate is zero. One of the principal difficulties in the no discounting case is that, even if attention is restricted to stationary policies, a…
We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow…
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt…
This paper presents an online method that learns optimal decisions for a discrete time Markov decision problem with an opportunistic structure. The state at time $t$ is a pair $(S(t),W(t))$ where $S(t)$ takes values in a finite set…
A new simple model of diffusion of innovations in a social network with upgrading costs is introduced. Agents are characterized by a single real variable, their technological level. According to local information agents decide whether to…
The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and…
We provide easily verifiable conditions for the well-posedness of the optimal investment problem for a behavioral investor in an incomplete discrete-time multiperiod financial market model, for the first time in the literature. Under two…
Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…