Related papers: Optimal Exploration of an Exhaustible Resource wit…
We consider a fundamental pricing model in which a fixed number of units of a reusable resource are used to serve customers. Customers arrive to the system according to a stochastic process and upon arrival decide whether or not to purchase…
This paper applies the Hotelling model to the context of exhaustible human resources in China. We find that over-exploitation of human resources occurs under conditions of restricted population mobility, rigid wage levels, and increased…
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a…
The "Hotelling rule" (HR) called to be "the fundamental principle of the economics of exhaustible resources" has a logical deficiency which was never paid a sufficient attention to. This deficiency should be taken into account before…
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…
Firms that price perishable resources -- airline seats, hotel rooms, seasonal inventory -- now routinely use demand predictions, but these predictions vary widely in quality. Under hard capacity constraints, acting on an inaccurate…
We consider the problem of pricing a reusable resource service system. Potential customers arrive according to a Poisson process and purchase the service if their valuation exceeds the current price. If no units are available, customers…
A dynamic model is constructed that generalises the Hartwick and Van Long (2020) endogenous discounting setup by introducing externalities and asks what implications this has for optimal natural resource extraction with constant…
The consumers' willingness to pay plays an important role in economic theory and in setting policy. For a market, this function can often be estimated from observed behavior -- preferences are revealed. However, economists would like to…
Exploration is a crucial and distinctive aspect of reinforcement learning (RL) that remains a fundamental open problem. Several methods have been proposed to tackle this challenge. Commonly used methods inject random noise directly into the…
We study whether simple algorithmic pricing systems can systematically produce collusive-like prices in multi-firm markets. We consider firms using an explore-then-exploit pipeline: they randomize prices during an initial exploration phase,…
Exploration in reinforcement learning (RL) remains an open challenge. RL algorithms rely on observing rewards to train the agent, and if informative rewards are sparse the agent learns slowly or may not learn at all. To improve exploration…
In this paper, we consider an infinite horizon, continuous-review, stochastic inventory system in which cumulative customers' demand is price-dependent and is modeled as a Brownian motion. Excess demand is backlogged. The revenue is earned…
In a game theoretic framework, we study energy markets with a continuum of homogenous producers who produce energy from an exhaustible resource such as oil. Each producer simultaneously optimizes production rate that drives her revenues, as…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
Annual oil and gas exploration planning involves selecting a limited portfolio of drilling and appraisal-related projects before geological outcomes are known. This decision is affected by uncertainties in geological success, reserve size,…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
Most exploration algorithms search broadly until uncertainty is resolved. When the action space is too large to resolve within budget, practitioners default to $\varepsilon$-greedy, which bounds disruption but spends its override blindly.…
We study reward-free and reward-agnostic exploration in episodic finite-horizon Markov decision processes (MDPs), where an agent explores an unknown environment without observing external rewards. Reward-free exploration aims to enable…