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Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
The mitigation of climate change requires a fundamental transition of the energy system. Affordability, reliability and the reduction of greenhouse gas emissions constitute central but often conflicting targets for this energy transition.…
In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…
We study online resource allocation in a cloud computing platform, through a posted pricing mechanism: The cloud provider publishes a unit price for each resource type, which may vary over time; upon arrival at the cloud system, a cloud…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
Consider a network design application where we wish to lay down a minimum-cost spanning tree in a given graph; however, we only have stochastic information about the edge costs. To learn the precise cost of any edge, we have to conduct a…
This paper presents an application of mean field control to dynamic production optimization. Both noncooperative and cooperative solutions are considered. We first introduce a market of a large number of agents (firms) with sticky prices…
We consider the optimization problem for a shape cost functional $F(\Omega,f)$ which depends on a domain $\Omega$ varying in a suitable admissible class and on a "right-hand side" $f$. More precisely, the cost functional $F$ is given by an…
This paper introduces and rationalizes a new model for bidding and clearing energy storage resources in wholesale energy markets. Charge and discharge bids in this model depend on the storage state-of-charge (SoC). In this setting, storage…
Pandora's problem is a fundamental model in economics that studies optimal search strategies under costly inspection. In this paper we initiate the study of Pandora's problem with combinatorial costs, capturing many real-life scenarios…
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…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…
Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…
By its nature, the so-called social cost of carbon (SCC(t)) will likely not cover the cost induced by climate change (damage cost and abatement cost) if it is used as a CO$_2$-price. It is a marginal price only. We define an implied…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
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…
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…
This paper is dedicated to the analysis of infinite horizon optimal control problems subject to semilinear parabolic equations with constraints on the controls and discounted cost functionals. The discount factors on the cost and the state…
Online auctions play a central role in online advertising, and are one of the main reasons for the industry's scalability and growth. With great changes in how auctions are being organized, such as changing the second- to first-price…