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This research considers Bayesian decision-analytic approaches toward the traversal of an uncertain graph. Namely, a traveler progresses over a graph in which rewards are gained upon a node's first visit and costs are incurred for every edge…

In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…

An informed seller designs a dynamic mechanism to sell an experience good. The seller has partial information about the product match, which affects the buyer's private consumption experience. We characterize equilibrium mechanisms of this…

We tackle the problem of system identification, where we select inputs, observe the corresponding outputs from the true system, and optimize the parameters of our model to best fit the data. We propose a practical and computationally…

Motion planning under uncertainty is of significant importance for safety-critical systems such as autonomous vehicles. Such systems have to satisfy necessary constraints (e.g., collision avoidance) with potential uncertainties coming from…

We tackle the problem of trajectory planning in an environment comprised of a set of obstacles with uncertain time-varying locations. The uncertainties are modeled using widely accepted Gaussian distributions, resulting in a…

We consider amortized Bayesian inference for nonlinear inverse problems in settings where only samples from the joint distribution of parameters and observations are available. Classical methods such as Markov chain Monte Carlo require…

We give a survey of the two remarkable analytical problems of quantum information theory. The main part is a detailed report of the recent (partial) solution of the quantum Gaussian optimizers problem which establishes an optimal property…

We develop efficient algorithms to construct utility maximizing mechanisms in the presence of risk averse players (buyers and sellers) in Bayesian settings. We model risk aversion by a concave utility function, and players play…

We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We…

We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…

Model approximations are common practice when estimating structural or quasi-structural models. The paper considers the econometric properties of estimators that utilize projections to reimpose information about the exact model in the form…

We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and…

Let $Y$ be a Gaussian vector whose components are independent with a common unknown variance. We consider the problem of estimating the mean $\mu$ of $Y$ by model selection. More precisely, we start with a collection…

A general information transmission model, under independent and identically distributed Gaussian codebook and nearest neighbor decoding rule with processed channel output, is investigated using the performance metric of generalized mutual…

Executing even moderately large derivatives orders can be expensive and risky; it's hard to balance the uncertainty of working an order over time versus paying a liquidity premium for immediate execution. Here, we introduce the Time Is…

Here we revisit the classic problem of linear quadratic estimation, i.e. estimating the trajectory of a linear dynamical system from noisy measurements. The celebrated Kalman filter gives an optimal estimator when the measurement noise is…

A constrained informationally efficient market is defined to be one whose price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting…

Prediction markets are a popular, prominent, and successful structure for a collective intelligence platform. However the exact mechanism by which information known to the participating traders is incorporated into the market price is…

This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…