Related papers: Versatile Stochastic Two-Sided Platform Models
Flexibility is a cornerstone of operations management, crucial to hedge stochasticity in product demands, service requirements, and resource allocation. In two-sided platforms, flexibility is also two-sided and can be viewed as the…
Two-sided matching markets describe a large class of problems wherein participants from one side of the market must be matched to those from the other side according to their preferences. In many real-world applications (e.g. content…
Stochastic optimal control and games have a wide range of applications, from finance and economics to social sciences, robotics, and energy management. Many real-world applications involve complex models that have driven the development of…
This paper deals with a standard stochastic game model with a continuum of states under the duel-type setup. It newly proposes a hybrid model of game theory and the fluctuation process, which could be applied for various practical decision…
Multi-stage stochastic programming is a well-established framework for sequential decision making under uncertainty by seeking policies that are fully adapted to the uncertainty. Often such flexible policies are not desirable, and the…
Stable matching, a classical model for two-sided markets, has long been studied with little consideration for how each side's preferences are learned. With the advent of massive online markets powered by data-driven matching platforms, it…
In this note, we study a class of stochastic control problems where the optimal strategies are described by two parameters. These include a subset of singular control, impulse control, and two-player stochastic games. The parameters are…
Variational inequalities are modelling tools used to capture a variety of decision-making problems arising in mathematical optimization, operations research, game theory. The scenario approach is a set of techniques developed to tackle…
Online platforms collect rich information about participants and then share some of this information back with them to improve market outcomes. In this paper we study the following information disclosure problem in two-sided markets: If a…
This paper proposes a two-step framework for techno-economic analysis of a demand-side flexibility service in distribution networks. Step one applies optimization-based modelling to propose a generic problem formulation which determines the…
This paper studies a matching problem in which a group of agents cooperate with agents on two sides. In environments with either nontransferable or transferable utilities, we demonstrate that a stable outcome exists when cooperations…
Matching and pricing are two critical levers in two-sided marketplaces to connect demand and supply. The platform can produce more efficient matching and pricing decisions by batching the demand requests. We initiate the study of the…
The modeling of complex systems such as ecological or socio-economic systems can be very challenging. Although various modeling approaches exist, they are generally not compatible and mutually consistent, and empirical data often do not…
Two traditional paradigms are often used to describe the behavior of agents in multi-agent complex systems. In the first one, agents are considered to be fully rational and systems are seen as multi-player games. In the second one, agents…
We consider mechanisms for markets that are double-sided and have players with multi-dimensional strategic spaces on at least one side. The players of the market are strategic, and act to optimize their own utilities. The mechanism…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
We study the stochastic assignment game and extend it to model multimodal mobility markets with a regulator or a Mobility-as-a-Service (MaaS) platform. We start by presenting general forms of one-to-one and many-to-many stochastic…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
The stochastic multi-armed bandit has provided a framework for studying decision-making in unknown environments. We propose a variant of the stochastic multi-armed bandit where the rewards are sampled from a stochastic linear dynamical…
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…