Related papers: Optimal supply against fluctuating demand
The optimal protocols for the irreversible work achieve their maximum usefulness if their work fluctuations are the smallest ones. In this work, for classical and isothermal processes subjected to finite-time and weak drivings, I show that…
This paper proposes a Bayesian method for estimating the parameters of a normal distribution when only limited summary statistics (sample mean, minimum, maximum, and sample size) are available. To estimate the parameters of a normal…
We obtain revenue guarantees for the simple pricing mechanism of a single posted price, in terms of a natural parameter of the distribution of buyers' valuations. Our revenue guarantee applies to the single item n buyers setting, with…
We revisit the problem of estimating the mean of a real-valued distribution, presenting a novel estimator with sub-Gaussian convergence: intuitively, "our estimator, on any distribution, is as accurate as the sample mean is for the Gaussian…
We study an optimal control problem in which both the objective function and the dynamic constraint contain an uncertain parameter. Since the distribution of this uncertain parameter is not exactly known, the objective function is taken as…
Asset price bubbles are situations where asset prices exceed the fundamental values defined by the present value of dividends. This paper presents a conceptually new perspective: the necessity of bubbles. We establish the Bubble Necessity…
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the…
For a collection of distributions over a countable support set, the worst case universal compression formulation by Shtarkov attempts to assign a universal distribution over the support set. The formulation aims to ensure that the universal…
We consider optimal mechanism design for the case with one buyer and two items. The buyer's valuations towards the two items are independent and additive. In this setting, optimal mechanism is unknown for general valuation distributions. We…
We applied Dirac distribution, Bose-Einstein distribution, and occasionally Boltzmann-Gibbs distribution in order to determine which is optimal for income distribution on a large pool of countries. The best fit to the data was observed in…
Certain extremum estimators have asymptotic distributions that are non-Gaussian, yet characterizable as the distribution of the $\argmax$ of a Gaussian process. This paper presents high-level sufficient conditions under which such…
In the design and analysis of revenue-maximizing auctions, auction performance is typically measured with respect to a prior distribution over inputs. The most obvious source for such a distribution is past data. The goal is to understand…
The fluctuation-dissipation relation for the classical definition of work is extended to thermally isolated systems, in classical and quantum realms. From this, the optimal work variance is calculated, showing it achieves its minimum…
Algorithmic pricing is the computational problem that sellers (e.g., in supermarkets) face when trying to set prices for their items to maximize their profit in the presence of a known demand. Guruswami et al. (2005) propose this problem…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in…
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of earning power or (planned and intended)…
We propose a simple market model where agents trade different types of products with each other by using money, relying only on local information. Value fluctuations of single products, combined with the condition of maximum profit in…
We consider the following frustrated optimization problem: given a prior probability distribution $q$, find the distribution $p$ minimizing the relative entropy with respect to $q$ such that $\textrm{mean}(p)$ is fixed and large. We show…
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the…