Related papers: Optimal Consumption for Recursive Preferences with…

In this work, we estimate the number of randomly selected elements of a tensor that with high probability guarantees local convergence of Riemannian gradient descent for tensor train completion. We derive a new bound for the orthogonal…

In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…

Motivated by an application to resource sharing network modelling, we consider a problem of greedy maximization (i.e., maximization of the consecutive minima) of a vector in $R^n$, with the admissible set indexed by the time parameter. The…

This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth…

We consider assortment optimization over a continuous spectrum of products represented by the unit interval, where the seller's problem consists of determining the optimal subset of products to offer to potential customers. To describe the…

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…

This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of earning power or (planned and intended)…

The "standard" Merton formulation of optimal investment and consumption involves optimizing the integrated lifetime utility of consumption, suitably discounted, together with the discounted future bequest. In this formulation the utility of…

In this paper, we study the finite-horizon problem of an economic agent's optimal consumption, investment, and job-switching decisions. The key new feature of our model is that the job-switching cost is time-varying. This extension leads to…

We prove that the consumption functions in optimal savings problems are asymptotically linear if the marginal utility is regularly varying. We also analytically characterize the asymptotic marginal propensities to consume (MPCs) out of…

Cross-temporal forecast reconciliation aims to ensure consistency across forecasts made at different temporal and cross-sectional levels. We explore the relationships between sequential, iterative, and optimal combination approaches, and…

We present a formal language for specifying qualitative preferences over temporal goals and a preference-based planning method in stochastic systems. Using automata-theoretic modeling, the proposed specification allows us to express…

We formulate and analyze a generic sequential resource access problem arising in a variety of engineering fields, where a user disposes a number of heterogeneous computing, communication, or storage resources, each characterized by the…

We study the subtlety of optimal paternalism when a utilitarian planner has the power to design a discrete choice set for a heterogeneous population with bounded rationality. We first consider the planning problem in abstraction. We show…

In the classical many normal means with different variances, we consider the situation when the observer is allowed to allocate the available measurement budget over the coordinates of the parameter of interest. The benchmark is the minimax…

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…

Identifying optimal strategies for efficient spatial exploration is crucial, both for animals seeking food and for robotic search processes, where maximizing the covered area is a fundamental requirement. Here, we propose position resetting…

This paper studies a discrete-time version of the Lucas-Uzawa endogenous growth model with physical and human capital in the presence of externalities. Existence of an optimal equilibrium is proved using tools from dynamic programming with…

In this paper we investigate necessary conditions of optimality for infinite-horizon optimal control problems with overtaking optimality as an optimality criterion. For the case of local Lipschitz continuity of the payoff function, we…

We investigate the existence of solutions of reversible and irreversible port-Hamiltonian systems. To this end, we utilize the associated exergy, a function that is composed of the system's Hamiltonian and entropy, to prove global existence…