Related papers: Optimal macroprudential policy with preemptive bai…

We consider the problem of optimizing the economic performance of nonlinear constrained systems subject to uncertain time-varying parameters and bounded disturbances. In particular, we propose an adaptive economic model predictive control…

Policymakers often face the decision of how to allocate resources across many different policies using noisy estimates of policy impacts. This paper develops a framework for optimal policy choices under statistical uncertainty. I consider a…

The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current economic theory. A review of papers on…

We study the problem of designing a two-sided market (double auction) to maximize the gains from trade (social welfare) under the constraints of (dominant-strategy) incentive compatibility and budget-balance. Our goal is to do so for an…

We study equilibria of markets with $m$ heterogeneous indivisible goods and $n$ consumers with combinatorial preferences. It is well known that a competitive equilibrium is not guaranteed to exist when valuations are not gross substitutes.…

We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in…

We consider the dividend maximization problem including a ruin penalty in a diffusion environment. The additional penalty term is motivated by a constraint on dividend strategies. Intentionally, we use different discount rates for the…

Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…

We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as…

This article considers the minimization of the total number of infected individuals over the course of an epidemic in which the rate of infectious contacts can be reduced by time-dependent nonpharmaceutical interventions. The societal and…

Motivated by the cost savings that can be obtained by sharing resources in a network context, we consider a stylized, yet representative model, for the coordination of maintenance and service logistics for a geographic network of assets.…

In this technical note, we establish an upper-bound on the threshold on the discount factor starting from which all discounted-optimal deterministic policies are gain-optimal, that we prove to be tight on an example. To address…

In this paper, I consider a simple heterogeneous agents model of a production economy with uncertain climate change and examine constrained efficient carbon taxation. If there are frictionless, complete financial markets, the simple model…

This paper considers the problem faced by a bank which trades in the funds market so as to maintain the reserve requirements and minimize the costs of doing that. We work in a stochastic paradigm and the reserve requirements are determined…

This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a…

In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and…

We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived…

Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination…

We introduce and study constrained Markov Decision Processes (cMDPs) with anytime constraints. An anytime constraint requires the agent to never violate its budget at any point in time, almost surely. Although Markovian policies are no…

We introduce a methodology for efficiently computing a lower bound to empowerment, allowing it to be used as an unsupervised cost function for policy learning in real-time control. Empowerment, being the channel capacity between actions and…