Related papers: Housing Decisions under Mobility Risk: A Stochasti…
To choose between two discrete goods, a consumer pays attention to only those with prices below a threshold. From these, she chooses her most preferred good. We assume consumers in a population have the same preference but may have…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
We consider a non-stationary variant of a sequential stochastic optimization problem, in which the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said…
We study the design of optimal allocation mechanisms in an environment where agents and goods arrive stochastically. Agents have private types that determine the principal payoff. Either agents or goods can be held in a queue at a flow cost…
It has not been known whether preferential dispersal is adaptive in fluctuating environments. We investigate the effect of preferential and random dispersals in bet-hedging systems by using a discrete stochastic metapopulation model, where…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
Urban displacement - when a household is forced to relocate due to conditions affecting its home or surroundings - often results from rising housing costs, particularly in wealthy, prosperous cities. However, its dynamics are complex and…
Because of improving accessibility, transport developments play an important role in residence choice of renter households. In this paper, an agent-based model is developed to investigate impacts of different transport developments on…
In this paper we analyze urban spatial segregation phenomenon in terms of the income distribution over a population, and inflationary parameter weighting the evolution of housing prices. For this, we develop a discrete, spatially extended…
This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse and reflect their risk aversion through coherent risk…
The coordinated and efficient distribution of limited resources by individual decisions is a fundamental, unsolved problem. When individuals compete for road capacities, time, space, money, goods, etc., they normally make decisions based on…
The US housing market exhibits pronounced seasonal cycles: prices and sales rise through spring, peak in summer, and decline through autumn and winter. Since 2021, this pattern has shifted earlier in the calendar year, with spring…
This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…
In this paper we study how to optimally balance cheap inflexible resources with more expensive, reconfigurable resources despite uncertainty in the input problem. Specifically, we introduce the MinEMax model to study "build versus rent"…
The high dynamics and heterogeneous interactions in the complicated urban systems have raised the issue of uncertainty quantification in spatiotemporal human mobility, to support critical decision-makings in risk-aware web applications such…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
We introduce data-driven decision-making algorithms that achieve state-of-the-art \emph{dynamic regret} bounds for non-stationary bandit settings. These settings capture applications such as advertisement allocation, dynamic pricing, and…
In this paper, we study a routing and travel-mode choice problem for mobility systems with a multimodal transportation network as a ``mobility game" with coupled action sets. We develop a game-theoretic framework to study the impact on…
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular, we allow for constraints on both…
This paper is concerned with a simulation study for a stochastic production network model, where the capacities of machines may change randomly. We introduce performance measures motivated by risk measures from finance leading to a…