Related papers: On controlled linear diffusions with delay in a mo…

Selective labels are a common feature of consequential decision-making applications, referring to the lack of observed outcomes under one of the possible decisions. This paper reports work in progress on learning decision policies in the…

We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…

Models of economic decision makers often include idealized assumptions, such as rationality, perfect foresight, and access to all relevant pieces of information. These assumptions often assure the models' internal validity, but, at the same…

Training models on data obtained from randomized experiments is ideal for making good decisions. However, randomized experiments are often time-consuming, expensive, risky, infeasible or unethical to perform, leaving decision makers little…

This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected certainty equivalent of her/his terminal wealth and the…

Often in prediction tasks, the predictive model itself can influence the distribution of the target variable, a phenomenon termed performative prediction. Generally, this influence stems from strategic actions taken by stakeholders with a…

In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and dependence between them. The aim is to maximize…

We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a…

Part I of this work [2] developed the exact diffusion algorithm to remove the bias that is characteristic of distributed solutions for deterministic optimization problems. The algorithm was shown to be applicable to a larger set of…

This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to show several characterizations of the optimal cost function…

This paper deals with solving distributed optimization problems with equality constraints by a class of uncertain nonlinear heterogeneous dynamic multi-agent systems. It is assumed that each agent with an uncertain dynamic model has limited…

This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…

In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control and its delayed term. Inspired by previous results by \O…

Adapting pretrained diffusion models to downstream objectives such as inverse problems often requires expensive test-time guidance or optimization. We propose a principled framework for generating high-quality reward-aligned samples at…

We consider a problem of an optimal consumption strategy on the infinite time horizon when the short-rate is a diffusion process. General existence and uniqueness theorem is illustrated by the Vasicek and so-called invariant interval…

We study the properties of the value function associated with an optimal control problem with uncertainties, known as average or Riemann-Stieltjes problem. Uncertainties are assumed to belong to a compact metric probability space, and…

We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial information on the drift of the underlying…

This paper focuses on describing the impact of policy actions on individuals' opinions in the presence of social and external influences toward proposing preliminary nudging strategies to achieve a cost-effectiveness trade-off. To this end,…

In this article, we study optimal investment and consumption in an incomplete stochastic factor model for a power utility investor on the infinite horizon. When the state space of the stochastic factor is finite, we give a complete…

We consider an optimal control problem for a non-autonomous model of ODEs that describes the evolution of the number of customers in some firm. Namely we study the best marketing strategy. Considering a $L^2$ cost functional, we establish…