Related papers: Housing Decisions under Mobility Risk: A Stochasti…
The ski rental problem is a canonical model for online decision-making under uncertainty, capturing the fundamental trade-off between repeated rental costs and a one-time purchase. While classical algorithms focus on worst-case competitive…
We consider a tick-by-tick model of price formation, in which buy and sell orders are modeled as self-exciting point processes (Hawkes process), similar to the one in [Bacry, Delattre, Hoffmann, Muzy, Modelling microstructure noise with…
We study a utility maximization problem in a financial market with a stochastic drift process, combining a worst-case approach with filtering techniques. Drift processes are difficult to estimate from asset prices, and at the same time…
Addressing issues of social diversity, we introduce a model of housing transactions between agents who are heterogeneous in their willingness to pay. A key assumption is that agents' preferences for a location depend on both an intrinsic…
The pricing of housing properties is determined by a variety of factors. However, post-pandemic markets have experienced volatility in the Chicago suburb area, which have affected house prices greatly. In this study, analysis was done on…
Boarding house is the most important requirement, especially for college students who live far away from the city, place of his origin or house. However, the problem we see now is the uneven distribution of study places in Indonesia which…
This study investigates the efficacy of machine learning models for predicting house rental prices in Ghana, addressing the need for accurate and accessible housing market information. Utilising a comprehensive dataset of rental listings,…
This paper introduces a novel multi-agent ski-rental problem that generalizes the classical ski-rental dilemma to a group setting where agents incur individual and shared costs. In our model, each agent can either rent at a fixed daily…
This research introduces a mathematical framework to comprehending human mobility patterns, integrating mathematical modeling and economic analysis. The study focuses on latent-variable networks, investigating the dynamics of human mobility…
This work suggests modifications to a previously introduced class of heterogeneous agent models that allow for the inclusion of different types of agent motivations and behaviours in a unified way. The agents operate within a highly…
Using results from neurobiology on perceptual decision making and value-based decision making, the problem of decision making between lotteries is reformulated in an abstract space where uncertain prospects are mapped to corresponding…
We consider a multi-stage stochastic lot-sizing problem with service level constraints and supplier-driven product substitution. A firm has multiple products and it has the option to meet demand from substitutable products at a cost.…
We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…
In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded…
We consider Merton's problem with proportional transaction costs. It is well known that the optimal investment strategy is characterized by two trading boundaries, the buy boundary and the sell boundary, between which lies the no-trading…
In this work, we address the optimal retirement problem in the presence of a stochastic wage, formulated as a free boundary problem. Specifically, we explore an incomplete market setting where the wage cannot be perfectly hedged through…
This article describes a model and an exact solution method for facility location problems with decision-dependent uncertainties. The model allows characterizing the probability distribution of the random elements as a function of the…
The housing market, also known as one-sided matching market, is a classic exchange economy model where each agent on the demand side initially owns an indivisible good (a house) and has a personal preference over all goods. The goal is to…
This paper considers a mortgage contract where the borrower pays a fixed mortgage rate and has the choice of making prepayment. Assume the market interest follows the CIR model, a free boundary problem is formulated. Here we focus on the…
Nontransitive choices have long been an area of curiosity within economics. However, determining whether nontransitive choices represent an individual's preference is a difficult task since choice data is inherently stochastic. This paper…