相关论文: Competitive Robust Dynamic Pricing in Continuous T…

We introduce, in continuous time, an axiomatic approach to assign to any financial position a dynamic ask (resp. bid) price process. Taking into account both transaction costs and liquidity risk this leads to the convexity (resp. concavity)…

We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary information, exposure to idiosyncratic risk, or a mix of both…

We consider a periodic double auction (PDA) setting where buyers of the auction have multiple (but finite) opportunities to procure multiple but fixed units of a commodity. The goal of each buyer participating in such auctions is to reduce…

We study markets of indivisible items in which price-based (Walrasian) equilibria often do not exist due to the discrete non-convex setting. Instead we consider Nash equilibria of the market viewed as a game, where players bid for items,…

We consider price competition among multiple sellers over a selling horizon of $T$ periods. In each period, sellers simultaneously offer their prices (which are made public) and subsequently observe their respective demand (not made…

We consider the computational complexity of computing Bayes-Nash equilibria in first-price auctions, where the bidders' values for the item are drawn from a general (possibly correlated) joint distribution. We show that when the values and…

Dynamic pricing of goods in a competitive environment to maximize revenue is a natural objective and has been a subject of research over the years. In this paper, we focus on a class of markets exhibiting the substitutes property with…

The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…

We propose a Bayesian distributionally robust variational inequality (DRVI) framework that models the data-generating distribution through a finite mixture family, which allows us to study the DRVI on a tractable finite-dimensional…

We study the pay-as-bid auction game, a supply function model with discriminatory pricing and asymmetric firms. In this game, strategies are non-decreasing supply functions relating pric to quantity and the exact choice of the strategy…

We study the cyclic inventory routing problem that involves joint decisions on vehicle routing and inventory replenishment on an infinite, cyclic horizon. It considers a single warehouse and a set of geographically dispersed retailers. We…

In this paper, we examine the robustness of Nash equilibria in continuous games, under both strategic and dynamic uncertainty. Starting with the former, we introduce the notion of a robust equilibrium as those equilibria that remain…

The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…

We consider dynamic pricing with covariates under a generalized linear demand model: a seller can dynamically adjust the price of a product over a horizon of $T$ time periods, and at each time period $t$, the demand of the product is…

Traditional pricing paradigms, once dominated by static models and rule-based heuristics, are increasingly being replaced by dynamic, data-driven approaches powered by machine learning algorithms. Despite their growing sophistication, most…

We explore stability and fairness considerations in decentralized networked markets with bilateral contracts, building on the trading networks framework [Hatfield et al., 2013]. In our trading network game, we show that a well-defined…

We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash equilibria. When the discount function…

In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…

We study oligopolistic competition in service markets where firms offer a service to customers. The service quality of a firm - from the perspective of a customer - depends on the congestion and the charged price. A firm can set a price for…

We consider an augmented version of Merton's portfolio choice problem, where trading by large investors influences the price of underlying financial asset leading to strategic interaction among investors, with investors deciding their…