Related papers: Comparative Statics for Optimal Stopping Problems …
In this paper, we develop new optional stopping theorems for scenarios where the stopping rules are defined by bounded continuity regions. Moreover, we establish a wide variety of inequalities on the supremums and infimums of functions of…
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…
We study a model ecosystem by means of dynamical techniques from disordered systems theory. The model describes a set of species subject to competitive interactions through a background of resources, which they feed upon. Additionally…
For a discrete time Markov chain and in line with Strotz' consistent planning we develop a framework for problems of optimal stopping that are time-inconsistent due to the consideration of a non-linear function of an expected reward. We…
Different disciplines pursue the aim to develop models which characterize certain phenomena as accurately as possible. Climatology is a prime example, where the temporal evolution of the climate is modeled. In order to compare and improve…
Standard Markovian optimal stopping problems are consistent in the sense that the first entrance time into the stopping set is optimal for each initial state of the process. Clearly, the usual concept of optimality cannot in a…
In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…
In the persuasion model, apart from a few special cases, comparative statics has been an open question. We answer it, delineating which shifts of the sender's interim payoff lead her optimally to choose a more informative signal. Our first…
In this paper, we propose a new framework for solving a general dynamic optimal stopping problem without time consistency. A sophisticated solution is proposed and is well-defined for any time setting with general flows of objectives. A…
Decision making in modern stochastic systems, including e-commerce platforms, financial markets and healthcare systems, has evolved into a multifaceted process that combines information acquisition and adaptive information sources. This…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
Environmental variation can play an important role in ecological competition by influencing the relative advantage between competing species. Here, we consider such effects by extending a classical, competitive Moran model to incorporate an…
In this paper, we consider contextual stochastic optimization problems under endogenous uncertainty, where decisions affect the underlying distributions. To implement such decisions in practice, it is crucial to ensure that their outcomes…
Varying environmental conditions affect relations between interacting individuals in social dilemmas, thus affecting also the evolution of cooperation. Oftentimes these environmental variations are seasonal and can therefore be…
This paper re-examines the use of response time to infer problem complexity. It revisits a canonical Wald model of optimal stopping, taking signal-to-noise ratio as a measure of problem complexity. While choice quality is monotone in…
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience…
Our research is closely related to ontological studies in mathematics. It provides crucial insights into the nature of decisions and strategies characterized by Markov moments. In a stopping game, a holistic decision-maker would evaluate…
We consider the problem of state selection for a stochastic system, initially in an unstable stationary state, when multiple metastable states compete for occupation. Using path-integral techniques we derive remarkably simple and accurate…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
We develop a theory of monotone comparative statics for models with adjustment costs. We show that comparative-statics conclusions may be drawn under the usual ordinal complementarity assumptions on the objective function, assuming very…