Related papers: Endogenous Persistence at the Effective Lower Boun…

The paper studies a system of first order Hamilton-Jacobi equations with discontinuous coefficients, arising from a model of deterministic optimal debt management in infinite time horizon, with exponential discount and currency devaluation.…

This paper describes a method to estimate a production frontier that satisfies the axioms of monotonicity and concavity in a non-parametric Bayesian setting. An inefficiency term that allows for significant departure from prior…

This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within a risk-neutral probability space. Our research primarily…

For a Markov decision process with countably infinite states, the optimal value may not be achievable in the set of stationary policies. In this paper, we study the existence conditions of an optimal stationary policy in a countable-state…

For constrained linear systems with bounded disturbances and parametric uncertainty, we propose a robust adaptive model predictive control strategy with online parameter estimation. Constraints enforcing persistently exciting closed loop…

We consider a large population of learning agents noncooperatively selecting strategies from a common set, influencing the dynamics of an exogenous system (ES) we seek to stabilize at a desired equilibrium. Our approach is to design a…

Empirical researchers and decision-makers spanning various domains frequently seek profound insights into the long-term impacts of interventions. While the significance of long-term outcomes is undeniable, an overemphasis on them may…

In a constantly changing world, animals must account for environmental volatility when making decisions. To appropriately discount older, irrelevant information, they need to learn the rate at which the environment changes. We develop an…

Bayesian Optimization is critically vulnerable to extreme outliers. Existing provably robust methods typically assume a bounded cumulative corruption budget, which makes them defenseless against even a single corruption of sufficient…

This paper develops a robust fixed time optimization framework for constrained problems that guarantees exact constraint satisfaction and convergence to KKT points within fixed time , independent of initial conditions. The approach treats…

For a class of Bellman equations in bounded domains we prove that sub- and supersolutions whose growth at the boundary is suitably controlled must be constant. The ellipticity of the operator is assumed to degenerate at the boundary and a…

The initial value problem for a coupled system is studied. The system consists of a differential inclusion and a differential equation and models the fluid flow of a viscoelastic fluid of Oldroyd type. The set-valued right-hand side of the…

The theory of integral quadratic constraints (IQCs) allows verification of stability and gain-bound properties of systems containing nonlinear or uncertain elements. Gain bounds often imply exponential stability, but it can be challenging…

Linear regressions with endogeneity are widely used to estimate causal effects. This paper studies a framework that involves two common practical issues: endogeneity of the regressors and heteroskedasticity that depends on endogenous…

In this article, we discuss the continuous version of the generalized exchange-driven growth model which is a variant of the coagulation model in which a smaller size particle is detached from a bigger one and merges with another particle.…

When fitting a particular Economic model on a sample of data, the model may turn out to be heavily misspecified for some observations. This can happen because of unmodelled idiosyncratic events, such as an abrupt but short-lived change in…

We propose an improved version of the PAMPA algorithm where the solution is sought as globally continuous. The scheme is locally conservative, and there is no mass matrix to invert. This method had been developed in a series of papers, see…

We study optimal policy learning under combined budget and minimum coverage constraints. We show that the problem admits a knapsack-type structure and that the optimal policy can be characterized by an affine threshold rule involving both…

In this paper, we introduce a novel Extra-Gradient method with anchor term governed by general parameters. Our method is derived from an explicit discretization of a Tikhonov-regularized monotone flow in Hilbert space, which provides a…

This paper studies the fixed budget formulation of the Ranking and Selection (R&S) problem with independent normal samples, where the goal is to investigate different algorithms' convergence rate in terms of their resulting probability of…