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

This paper expands the work on distributionally robust newsvendor to incorporate moment constraints. The use of Wasserstein distance as the ambiguity measure is preserved. The infinite dimensional primal problem is formulated; problem of…

We study a censored variant of the data-driven newsvendor problem, where the decision-maker must select an ordering quantity that minimizes expected overage and underage costs based only on offline censored sales data, rather than…

In many fields, and especially in the medical and social sciences and in recommender systems, data are gathered through clinical studies or targeted surveys. Participants are generally reluctant to respond to all questions in a survey or…

The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…

In light of the growing market of Ad Exchanges for the real-time sale of advertising slots, publishers face new challenges in choosing between the allocation of contract-based reservation ads and spot market ads. In this setting, the…

Diffusion on complex networks is often modeled as a stochastic process. Yet, recent work on strategic diffusion emphasizes the decision power of agents and treats diffusion as a strategic problem. Here we study the computational aspects of…

We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…

Optimal control problems are inherently hard to solve as the optimization must be performed simultaneously with updating the underlying system. Starting from an initial guess, Howard's policy improvement algorithm separates the step of…

We study reinforcement learning for controlled diffusion processes with unbounded continuous state spaces, bounded continuous actions, and polynomially growing rewards: settings that arise naturally in finance, economics, and operations…

This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…

With the growing collection of sales and marketing data and depth of detailed knowledge of consumer habits and trends, firms are gaining the capability to discern customers of other firms from the potential market of uncommitted consumers.…

Human dynamics is known to be inhomogeneous and bursty but the detailed understanding of the role of human factors in bursty dynamics is still lacking. In order to investigate their role we devise an agent-based model, where an agent in an…

Stochastic optimal control problems governed by delay equations with delay in the control are usually more difficult to study than the the ones when the delay appears only in the state. This is particularly true when we look at the…

Solving an output consensus problem in multi-agent systems is often hindered by multiple time-variant delays. To address such fundamental problems over time, we present a new optimal time-variant distributed control for linearly perturbed…

Display Ads and the generalized assignment problem are two well-studied online packing problems with important applications in ad allocation and other areas. In both problems, ad impressions arrive online and have to be allocated…

Snapshots of "best" (or "worst") experience are known to dominate human memory and may thus also have a significant effect on future behaviour. We consider here a model of repeated decision-making where, at every time step, an agent takes…

Online advertising platforms use automated auctions to connect advertisers with potential customers, requiring effective bidding strategies to maximize profits. Accurate ad impact estimation requires considering three key factors: delayed…

Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding the optimal expected discounted reward and the optimal…

This paper studies the problem of steering the distribution of a discrete-time dynamical system from an initial distribution to a target distribution in finite time. The formulation is fully nonlinear, allowing the use of general control…

In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative…