相关论文: Timing Options for a Startup with Early Terminatio…

We study an optimal investment problem with multiple entries and forced exits. A closed form solution of the optimisation problem is presented for general underlying diffusion dynamics and a general running payoff function in the case when…

We recently presented a methodology for quantitatively reducing the risk and cost of executing electronic transactions in a bursty network environment such as the Internet. In the language of portfolio theory, time to complete a transaction…

We study the problem of scheduling jobs on fault-prone machines communicating via a shared channel, also known as multiple-access channel. We have $n$ arbitrary length jobs to be scheduled on $m$ identical machines, $f$ of which are prone…

A temporally abstract action, or an option, is specified by a policy and a termination condition: the policy guides option behavior, and the termination condition roughly determines its length. Generally, learning with longer options (like…

Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more pro-actively…

In this paper, we study a pricing problem of the multiple reset put option, which allows the holder to reset several times a current strike price to obtain an at-the-money European put option. We formulate the pricing problem as a multiple…

This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…

The mathematical runtime analysis of evolutionary algorithms traditionally regards the time an algorithm needs to find a solution of a certain quality when initialized with a random population. In practical applications it may be possible…

We study how competitive forces may drive firms to inefficiently acquire startup talent. In our model, two rival firms have the capacity to acquire and integrate a startup operating in an orthogonal market. We show that firms may pursue…

The mean completion time of a stochastic process may be rendered finite and minimised by a judiciously chosen restart protocol, which may either be stochastic or deterministic. Here we study analytically an arbitrary stochastic search…

We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the initial investment and the reward function at the initial…

We introduce a novel adversarial model for scheduling with explorable uncertainty. In this model, the processing time of a job can potentially be reduced (by an a priori unknown amount) by testing the job. Testing a job $j$ takes one unit…

We study the impact of competing time delays in coupled stochastic synchronization and coordination problems. We consider two types of delays: transmission delays between interacting elements and processing, cognitive, or execution delays…

Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic agent whose future revenues depend on the realization of a…

Motivated by applications where impatience is pervasive and evaluation times are uncertain, we study a selection model where options may expire at an unknown point in time and evaluation times are stochastic. Initially, the decision-maker…

Emphasizing the statistics of jumps crossing the strike and local time, we develop a decomposition of equity option risk premiums. Operationalizing this theoretical treatment, we equip the pricing kernel process with unspanned risks, embed…

It was found in the paper that the time frames of the studied system operation depend on the research objective. In cases when it comes to problems, related to the physical movement of the input and output products, limits of the study are…

Bender et al. (SPAA 2013) have proposed a theoretical framework for testing in contexts where safety mistakes must be avoided. Testing in such a context is made by machines that need to be often calibrated. Given that calibration costs, it…

This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We…

We study a single-server scheduling problem for the objective of minimizing the expected cumulative holding cost incurred by jobs, where parameters defining stochastic job holding costs are unknown to the scheduler. We consider a general…