Related papers: Optimal information acquisition for eliminating es…
We consider information retrieval when the data, for instance multimedia, is coputationally expensive to fetch. Our approach uses "information filters" to considerably narrow the universe of possiblities before retrieval. We are especially…
We investigate the optimal investment-reinsurance problem for insurance company with partial information on the market price of the risk. Through the use of filtering techniques we convert the original optimization problem involving…
The information investors acquire in asset markets has various forms. We refer to range information as information about the upper and lower bound which the payoff of an asset may reach in the future. This paper explores the market impacts…
This paper studies a dynamic model of information acquisition, in which information might be secretly manipulated. A principal must choose between a safe action with known payoff and a risky action with uncertain payoff, favoring the safe…
Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk…
Value-of-information analyses provide a straightforward means for selecting the best next observation to make, and for determining whether it is better to gather additional information or to act immediately. Determining the next best test…
We develop a novel framework for costly information acquisition in which a decision-maker learns about an unobserved state by choosing a signal distribution, with the cost of information determined by the distribution of noise in the…
We study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final…
We consider a robust consumption-investment problem under CRRA and CARA utilities. The time-varying confidence sets are specified by $\Theta$, a correspondence from $[0,T]$ to the space of L\'{e}vy triplets, and describe priori information…
Decentralized resource allocation is a key problem for large-scale autonomic (or self-managing) computing systems. Motivated by a data center scenario, we explore efficient techniques for resolving resource conflicts via cooperative…
Exploration-exploitation of functions, that is learning and optimizing a mapping between inputs and expected outputs, is ubiquitous to many real world situations. These situations sometimes require us to avoid certain outcomes at all cost,…
Traditional learning approaches for classification implicitly assume that each mistake has the same cost. In many real-world problems though, the utility of a decision depends on the underlying context $x$ and decision $y$. However,…
In this paper we study a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a variational equation that involves a free boundary problem of a…
Active perception approaches select future viewpoints by using some estimate of the information gain. An inaccurate estimate can be detrimental in critical situations, e.g., locating a person in distress. However the true information gained…
In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market under model uncertainty. Both financial risky asset process…
Adaptive information sampling approaches enable efficient selection of mobile robot's waypoints through which accurate sensing and mapping of a physical process, such as the radiation or field intensity, can be obtained. This paper analyzes…
Research into several aspects of robot-enabled reconnaissance of random fields is reported. The work has two major components: the underlying theory of information acquisition in the exploration of unknown fields and the results of…
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization problems, which can be solved explicitly. We…
This paper studies a dynamic information acquisition model with payoff externalities. Two players can acquire costly information about an unknown state before taking a safe or risky action. Both information and the action taken are private.…
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic…