Related papers: Dynamic choices, temporal invariance and variation…

This paper presents an axiomatic approach to finite Markov decision processes where the discount rate is zero. One of the principal difficulties in the no discounting case is that, even if attention is restricted to stationary policies, a…

This paper assumes each individual in society has a random discount factor and assesses an intertemporal project using rank-dependent expected utility theory. We consider both the ex ante and the ex post approaches. For the former, we show…

Stochastic dividend discount models (Hurley and Johnson, 1994 and 1998, Yao, 1997) present expressions for the expected value of stock prices when future dividends evolve according to some random scheme. In this paper we try to offer a more…

Minimizing volatility and adjustment costs is of central importance in many economic environments, yet it is often complicated by evolving feasibility constraints. We study a decision maker who repeatedly selects an action from a…

We consider a repeated auction where the buyer's utility for an item depends on the time that elapsed since his last purchase. We present an algorithm to build the optimal bidding policy, and then, because optimal might be impractical, we…

This paper studies dynamic monopoly pricing for a broad class of settings that allow for multiple durable, multiple rental, or a mix of varieties. We show that the driving force behind pricing dynamics is the existence of trading-up…

Extensive research shows that consumers are generally averse to price discrimination. However, instruments of differential pricing can benefit consumer surplus and alleviate inequity through targeted price discounts. This paper examines how…

The problem of dynamic pricing of electricity in a retail market is considered. A Stackelberg game is used to model interactions between a retailer and its customers; the retailer sets the day-ahead hourly price of electricity and consumers…

We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…

When evaluating policies that affect future generations, the most commonly used criterion is the discounted utilitarian rule. However, in terms of intergenerational fairness, it is difficult to justify prioritizing the current generation…

In economics, there are many ways to describe the interaction between a "seller" and a "buyer". The most common one, with which we interact almost every day, is selling for a fixed price. This option is perfect for selling a mass product,…

By embedding uncertainty into time, we obtain a conjoint axiomatic characterization of both Exponential Discounting and Subjective Expected Utility that accommodates arbitrary state and outcome spaces. In doing so, we provide a novel and…

This paper studies the dividend and capital injection problem under a diffusion risk model with general discount functions. A proportional cost is imposed when injecting capitals. For exponential discounting as time-consistent benchmark, we…

Discounting future costs and rewards is a common practice in accounting, game theory, and machine learning. In spite of this, existing logics for reasoning about strategies with cost and resource constraints do not account for discounting.…

We study the optimal design of electricity contracts among a population of consumers with different needs. This question is tackled within the framework of Principal-Agent problems in presence of adverse selection. The particular features…

What is the best compromise in a situation where different people value different things? The most commonly accepted method for answering this question -- in fields across the behavioral and social sciences, decision theory, philosophy, and…

This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…

We consider a model where an agent has a repeated decision to make and wishes to maximize their total payoff. Payoffs are influenced by an action taken by the agent, but also an unknown state of the world that evolves over time. Before…

We study an online dynamic pricing problem where the potential demand at each time period $t=1,2,\ldots, T$ is stochastic and dependent on the price. However, a perishable inventory is imposed at the beginning of each time $t$, censoring…

Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…