Related papers: Optimal Mix Among PAYGO, EET and Individual Saving…
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…
We study the design of decision-making mechanism for resource allocations over a multi-agent system in a dynamic environment. Agents' privately observed preference over resources evolves over time and the population is dynamic due to the…
This study investigates an adaptive pricing scheme aimed at achieving an efficient state in a traffic congestion game characterized by a diverse population of road users. While the planner possesses knowledge of players' preferences, their…
We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random lifetime and to use a portion of the…
With increasingly favorable economics and bundling of different grid services, energy storage systems (ESS) are expected to play a key role in integrating renewable generation. This work considers the coordination of ESS owned by customers…
We study the problem of allocating indivisible items to budget-constrained agents, aiming to provide fairness and efficiency guarantees. Specifically, our goal is to ensure that the resulting allocation is envy-free up to any item (EFx)…
We consider a Ramsey model with several households with heterogeneous preferences who are able to borrow capital to each other. Since the capital constraints of one household then depends on the others' capital, one can no longer optimize…
We pose an optimal control problem arising in a perhaps new model for retirement investing. Given a control function $f$ and our current net worth as $X(t)$ for any $t$, we invest an amount $f(X(t))$ in the market. We need a fortune of $M$…
We consider the holder of an individual tontine retirement account, with maximum and minimum withdrawal amounts (per year) specified. The tontine account holder initiates the account at age 65, and earns mortality credits while alive, but…
In this paper we employ a lifecycle model that uses utility of consumption and bequest to determine an optimal Deferred Income Annuity (DIA) purchase policy. We lay out a mathematical framework to formalize the optimization process. The…
In several socioeconomic-critical decision-making settings, such as fair resource allocation, climate policy, or AI alignment, multiple principals interact within a common arena. While it is well established that these principals may have…
Many countries around the world have had to carry out radical reforms periodically in their pension systems. Global experience shows that it is important to optimize the costs of pension and social security systems in order to ensure a…
In this work we analytically solve an optimal retirement problem, in which the agent optimally allocates the risky investment, consumption and leisure rate to maximise a gain function characterised by a power utility function of consumption…
We consider the problem of designing an expected-revenue maximizing mechanism for allocating multiple non-perishable goods of $k$ varieties to flexible consumers over $T$ time steps. In our model, a random number of goods of each variety…
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero…
This manuscript studies the preventive replacement policy for a series or parallel system consisting of n independent or dependent heterogeneous components. Firstly, for the age replacement policy, Some sufficient conditions for the…
This paper explores differentially-private federated learning (FL) across time-varying databases, delving into a nuanced three-way tradeoff involving age, accuracy, and differential privacy (DP). Emphasizing the potential advantages of…
This letter provides query-age-optimal joint sampling and transmission scheduling policies for a heterogeneous status update system, consisting of a stochastic arrival and a generate-at-will source, with an unreliable channel. Our main goal…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
This paper studies optimal consumption and saving decisions under uncertainty about the transition dynamics of the economic environment. We consider a general optimal savings problem in which the exogenous state governing discounting,…