Related papers: Strategic Irreversible Investment
This work provides a novel interpretation of Markov Decision Processes (MDP) from the online optimization viewpoint. In such an online optimization context, the policy of the MDP is viewed as the decision variable while the corresponding…
An investor has to carefully select the location and size of new generation units it intends to build, since adding capacity in a market affects the profit from units this investor may already own. To capture this closed-loop…
The optimization of process economics within the model predictive control (MPC) formulation has given rise to a new control paradigm known as economic MPC (EMPC). Several authors have discussed the closed-loop properties of EMPC-controlled…
Attempts to allocate capital across a selection of different investments are often hampered by the fact that investors' decisions are made under limited information (no historical return data) and during an extremely limited timeframe.…
We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recursion method, we show that the optimal strategy is to switch…
In this paper we continue investigating the optimal dividend and investment problems under the Sparre Andersen model. More precisely, we assume that the claim frequency is a renewal process instead of a standard compound Poisson process,…
In this paper, we deal with the equilibrium selection problem, which amounts to steering a population of individuals engaged in strategic game-theoretic interactions to a desired collective behavior. In the literature, this problem has been…
Automated decision-making tools increasingly assess individuals to determine if they qualify for high-stakes opportunities. A recent line of research investigates how strategic agents may respond to such scoring tools to receive favorable…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…
We study non-rectangular robust Markov decision processes under the average-reward criterion, where the ambiguity set couples transition probabilities across states and the adversary commits to a stationary kernel for the entire horizon. We…
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium…
We study infinite-horizon Markov decision processes (MDPs) where the decision maker evaluates each of her strategies by aggregating the infinite stream of expected stage-rewards. The crucial feature of our approach is that the aggregation…
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…
Interval Markov decision processes are a class of Markov models where the transition probabilities between the states belong to intervals. In this paper, we study the problem of efficient estimation of the optimal policies in Interval…
We study some ergodicity property of zero-sum stochastic games with a finite state space and possibly unbounded payoffs. We formulate this property in operator-theoretical terms, involving the solvability of an optimality equation for the…
We consider a stochastic game with partial, asymmetric and non-classical information, where the agents are trying to acquire as many available opportunities/locks as possible. Agents have access only to local information, the information…
We study a steady state of a free entry oligopoly with differentiated goods, that is, a monopolistic competition, with sluggish adjustment of entry and exit of firms under general demand and cost functions by a differential game approach.…
The aim of this paper is threefold. First, we provide a unified framework, by means of non-trivial examples, to compare the results obtained in simultaneous-move and sequential-move versions of bilateral oligopoly with the Cournot model and…
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular…
The dynamics in games involving multiple players, who adaptively learn from their past experience, is not yet well understood. We analyzed a class of stochastic games with Markov strategies in which players choose their actions…