Related papers: Single-Event Multinomial Full Kelly via Implicit S…
We present a method of automatically synthesizing steps to solve search problems. Given a specification of a search problem, our approach uses symbolic execution to analyze the specification in order to extract a set of constraints which…
We consider one buyer and one seller. For a bundle $(t,q)\in [0,\infty[\times [0,1]=\mathbb{Z}$, $q$ either refers to the wining probability of an object or a share of a good, and $t$ denotes the payment that the buyer makes. We define…
We consider the bail-out optimal dividend problem under fixed transaction costs for a L\'evy risk model. Furthermore, we consider the version with a constraint expected net present value of injected capital. To characterize the solution to…
We consider the fundamental problem of selecting $k$ out of $n$ random variables in a way that the expected highest or second-highest value is maximized. This question captures several applications where we have uncertainty about the…
This note proposes a simple polynomial-time method for constructing an ex ante stable school-choice lottery satisfying equal treatment of equals. The method applies the ETE reassignment to a constrained efficient stable matching and yields…
Evidential cooperation in large worlds (ECL) refers to the idea that humans and other agents can benefit by cooperating with similar agents with differing values in causally disconnected parts of a large universe. Cooperating provides…
The exact semiclassical quantization condition represents a cumbersome series expansion, so that only the main term of it is usually taken into account. We propose a way to find next terms without new additional calculations. Results are…
In the multi-unit pricing problem, multiple units of a single item are for sale. A buyer's valuation for $n$ units of the item is $v \min \{ n, d\} $, where the per unit valuation $v$ and the capacity $d$ are private information of the…
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience…
We study optimal equilibria in multi-player games. An equilibrium is optimal for a player, if her payoff is maximal. A tempting approach to solving this problem is to seek optimal Nash equilibria, the standard form of equilibria where no…
Multi-agent contract design has largely evaluated contracts through the lens of pure Nash equilibria (PNE). This focus, however, is not without loss: In general, the principal can strictly gain by recommending a complex, possibly…
In this paper, we consider one-to-one matchings between two disjoint groups of agents. Each agent has a preference over a subset of the agents in the other group, and these preferences may contain ties. Strong stability is one of the…
The introduction of new services, such as Mobile Edge Computing (MEC), requires a massive investment that cannot be assumed by a single stakeholder, for instance the Infrastructure Provider (InP). Service Providers (SPs) however also have…
In this paper we examine problems motivated by on-line financial problems and stochastic games. In particular, we consider a sequence of entirely arbitrary distinct values arriving in random order, and must devise strategies for selecting…
We are interested in the problem of optimal commitments in rank-and-bid based auctions, a general class of auctions that include first price and all-pay auctions as special cases. Our main contribution is a novel approach to solve for…
We apply Blackwell optimality to repeated games. An equilibrium whose strategy profile is sequentially rational for all high enough discount factors simultaneously is a Blackwell (subgame-perfect, perfect public, etc.) equilibrium. The bite…
We consider the problem of optimal hedging in an incomplete market with an established pricing kernel. In such a market, prices are uniquely determined, but perfect hedges are usually not available. We work in the rather general setting of…
We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two stage process that first determines admissible model…
An unconstrained nonlinear binary optimization problem of selecting a maximum expected value subset of items is considered. Each item is associated with a profit and probability. Each of the items succeeds or fails independently with the…
We consider a class of restless bandit problems that finds a broad application area in reinforcement learning and stochastic optimization. We consider $N$ independent discrete-time Markov processes, each of which had two possible states: 1…