Related papers: The Effects of Implementation Delay on Decision-Ma…

In this paper, we consider a class of stochastic impulse control problem when there is a fixed delay $\Delta$ between the decision and execution times. The dynamics of the controlled system between two impulses is an arbitrary adapted…

We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before…

We employ a natural method from the perspective of the optimal stopping theory to analyze entry-exit decisions with implementation delay of a project, and provide closed expressions for optimal entry decision times, optimal exit decision…

We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed…

We consider a nonlinear control system with vector-valued measures as controls and with dynamics depending on time delayed states. First, we introduce a notion of discontinuous, bounded variation solution associated with this system and…

We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…

In realistic pursuit-evasion scenarios, abrupt target maneuvers generate unavoidable periods of elevated uncertainty that result in estimation delays. Such delays can degrade interception performance to the point of causing a miss. Existing…

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…

Optimal probabilistic approach in reinforcement learning is computationally infeasible. Its simplification consisting in neglecting difference between true environment and its model estimated using limited number of observations causes…

We study a class of infinite-horizon impulse control problems with execution delay in discrete time. Using probabilistic methods, particularly the notion of the Snell envelope of processes, we construct an optimal strategy among all…

This paper studies binary linear programming problems in the presence of uncertainties that may cause solution values to change during implementation. This type of uncertainty, termed implementation uncertainty, is modeled explicitly…

Delayed outcomes are ubiquitous in online experimentation. When such a temporal dimension is present, treatment influences not only the outcome value but also the outcome timing, which can move in opposite directions. Motivated by the…

The main purpose of this paper is to provide a summary of the fundamental methods for analyzing delay differential equations arising in biology and medicine. These methods are employed to illustrate the effects of time delay on the behavior…

We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…

In many areas of engineering and sciences, decision rules and control strategies are usually designed based on nominal values of relevant system parameters. To ensure that a control strategy or decision rule will work properly when the…

We consider an impulse control problem in infinite horizon applied with switching technology. We suppose that the firm decides at certain moments (impulse moments) to switch technology, leading to a jump of the firm value. We show that the…

We introduce a double/debiased machine learning estimator for the impulse response function in settings where a time series of interest is subjected to multiple discrete treatments, assigned over time, which can have a causal effect on…

We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…

We consider the impact of ambiguity on the optimal timing of a class of two-dimensional integral option contracts when the exercise payoff is a positively homogeneous measurable function. Hence, the considered class of exercise payoffs…

We deal with the convergence of the value function of an approximate control problem with uncertain dynamics to the value function of a nonlinear optimal control problem. The assumptions on the dynamics and the costs are rather general and…