相关论文: Pollution permits, Strategic Trading and Dynamic T…

Net energy metering has been a successful policy for increasing solar generation installations and reducing the costs of photovoltaic arrays for consumers. However, increased maturity of solar technologies and concerns over cost shifts…

This paper explores the bifurcative dynamics of an artificial stock market exchange (ASME) with endogenous, myopic traders interacting through a limit order book (LOB). We showed that agent-based price dynamics possess intrinsic…

The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this…

We study a decision-maker's problem of finding optimal monetary incentive schemes for retention when faced with agents whose participation decisions (stochastically) depend on the incentive they receive. Our focus is on policies constrained…

Convertible instruments are contracts, used in venture financing, which give investors the right to receive shares in the venture in certain circumstances. In liquidity events, investors may have the option to either receive back their…

The competitive nature of Cloud marketplaces as new concerns in delivery of services makes the pricing policies a crucial task for firms. so that, pricing strategies has recently attracted many researchers. Since game theory can handle such…

Decision-making pipelines are generally characterized by tradeoffs among various risk functions. It is often desirable to manage such tradeoffs in a data-adaptive manner. As we demonstrate, if this is done naively, state-of-the art…

In this paper, we propose a two-layer adoption-opinion model to study the diffusion of two competing technologies within a population whose opinions evolve under social influence and adoption-driven feedback. After adopting one technology,…

We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic…

The increased market penetration of renewable energy sources and the rapid development of electric battery storage technologies yield a potential for reducing electricity price volatility while maintaining stability of the power grid. This…

Diffusion Policy has shown great performance in robotic manipulation tasks under stochastic perturbations, due to its ability to model multimodal action distributions. Nonetheless, its reliance on a computationally expensive reverse-time…

The impact of energy production significantly affects system sustainability, which has enabled a shift towards renewable energy sources. Thus, producer behavior is crucial in electricity markets to achieve sustainability goals. In this…

The dynamic portfolio optimization problem in finance frequently requires learning policies that adhere to various constraints, driven by investor preferences and risk. We motivate this problem of finding an allocation policy within a…

Future wireless networks will progressively displace service provisioning towards the edge to accommodate increasing growth in traffic. This paradigm shift calls for smart policies to efficiently share network resources and ensure service…

We examine the trade-off between the provision of incentives to exert costly effort (ex-ante moral hazard) and the incentives needed to prevent the agent from manipulating the profit observed by the principal (ex-post moral hazard).…

An important revenue stream for electric battery operators is often arbitraging the hourly price spreads in the day-ahead auction. The optimal approach to this is challenging if risk is a consideration as this requires the estimation of…

We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be…

Due to the limited predictability of wind power and other stochastic generation, trading this energy in competitive electricity markets is challenging. This paper derives revenue-maximising and risk-constrained strategies for stochastic…

Agents exert hidden effort to produce randomly-sized innovations in a technology they share. Flow payoffs grow as the technology develops, but so does the marginal cost of effort. I characterise the unique symmetric MPE with the quality of…

Pricing algorithms have demonstrated the capability to learn tacit collusion that is largely unaddressed by current regulations. Their increasing use in markets, including oligopolistic industries with a history of collusion, calls for…