Related papers: Singular Control in a Cash Management Model with A…
A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time…
I consider decision-making constrained by considerations of morality, rationality, or other virtues. The decision maker (DM) has a true preference over outcomes, but feels compelled to choose among outcomes that are top-ranked by some…
To understand the fairness properties of the BBR congestion-control algorithm (CCA), previous research has analyzed BBR behavior with a variety of models. However, previous model-based work suffers from a trade-off between accuracy and…
A robust model predictive control scheme for a class of constrained norm-bounded uncertain discrete-time linear systems is developed under the hypothesis that only partial state measurements are available for feedback. Off-line calculations…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and…
In this paper, we consider the stochastic optimal control problems under model risk caused by uncertain volatilities. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brwonian motion…
In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random…
The "Money Exchange Model" is a type of agent-based simulation model used to study how wealth distribution and inequality evolve through monetary exchanges between individuals. The primary focus of this model is to identify the limiting…
Tipping points characterize situations where a regulated system may experience a sudden and irreversible change and are generally associated with a random state of the system below which the change materializes. In this paper, we study a…
In this paper we further extend the optimal bubble riding model proposed by Tangpi and Wang by allowing for price-dependent entry times. Agents are characterized by their individual entry threshold that represents their belief in the…
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…
The process of contagiousness spread modelling is well-known in epidemiology. However, the application of spread modelling to banking market is quite recent. In this work, we present a system of ordinary differential equations, simulating…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
As artificial agents become increasingly capable, what internal structure is *necessary* for an agent to act competently under uncertainty? Classical results show that optimal control can be *implemented* using belief states or world…
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control…
We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be…
A system manager dynamically controls a diffusion process Z that lives in a finite interval [0,b]. Control takes the form of a negative drift rate \theta that is chosen from a fixed set A of available values. The controlled process evolves…
We extend a generalized integral fluctuation relation in diffusion processes that we obtained previously to the situation with feedback control. The general relation not only covers existing results but also predicts other unnoticed…