Related papers: Large Platonic Markets with Delays
This paper considers a distributed stochastic optimization problem where the goal is to minimize the time average of a cost function subject to a set of constraints on the time averages of a related stochastic processes called penalties. We…
Unpredictable sensor-to-estimator delays fundamentally distort what matters for wireless remote state estimation: not just freshness, but how delay interacts with sensor informativeness and energy efficiency. In this paper, we present a…
People often deviate from expected utility theory when making risky and intertemporal choices. While the effects of probabilistic risk and time delay have been extensively studied in isolation, their interplay and underlying theoretical…
In this tutorial paper, a comprehensive survey is given on several major systematic approaches in dealing with delay-aware control problems, namely the equivalent rate constraint approach, the Lyapunov stability drift approach and the…
Delayed processes are ubiquitous in biological systems and are often characterized by delay differential equations (DDEs) and their extension to include stochastic effects. DDEs do not explicitly incorporate intermediate states associated…
We argue that contemporary stock market designs are, due to traders' inability to fully express their preferences over the execution times of their orders, prone to latency arbitrage. In turn, we propose a new order type which allows…
We study general stochastic birth and death processes including delay. We develop several approaches for the analytical treatment of these non-Markovian systems, valid, not only for constant delays, but also for stochastic delays with…
We present a version of the fundamental theorem of asset pricing (FTAP) for continuous time large financial markets with two filtrations in an $L^p$-setting for $ 1 \leq p < \infty$. This extends the results of Yuri Kabanov and Christophe…
Several real-world scenarios, such as remote control and sensing, are comprised of action and observation delays. The presence of delays degrades the performance of reinforcement learning (RL) algorithms, often to such an extent that…
The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…
Most existing literature on supply chain and inventory management consider stochastic demand processes with zero or constant lead times. While it is true that in certain niche scenarios, uncertainty in lead times can be ignored, most…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into smaller pieces before being sent to…
In this paper, we study queueing systems with delayed information that use a generalization of the multinomial logit choice model as its arrival process. Previous literature assumes that the functional form of the multinomial logit model is…
In this paper, we consider online learning in generalized linear contextual bandits where rewards are not immediately observed. Instead, rewards are available to the decision-maker only after some delay, which is unknown and stochastic. We…
This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop a theoretical stochastic control…
We examine two-sided markets where players arrive stochastically over time and are drawn from a continuum of types. The cost of matching a client and provider varies, so a social planner is faced with two contending objectives: a) to reduce…
This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…
Applying any strategy requires some knowledge about the past state of the system. Unfortunately in the case of economy collecting information is a difficult, expensive and time consuming process. Therefore the information about the system…
We consider the delay properties of max-weight opportunistic scheduling in a multi-user ON/OFF wireless system, such as a multi-user downlink or uplink. It is well known that max-weight scheduling stabilizes the network (and hence yields…