相关论文: Timing Options for a Startup with Early Terminatio…
We propose an early termination technique for mixed integer conic programming for use within branch-and-bound based solvers. Our approach generalizes previous early termination results for ADMM-based solvers to a broader class of…
Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in…
The scope of this paper is to study the optimal stopping problems associated to a stochastic process, which may represent the gain of an investment, for which information on the final value is available a priori. This information may…
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio asset, which moves with the varying…
Bandit algorithms sequentially accumulate data using adaptive sampling policies, offering flexibility for real-world applications. However, excessive sampling can be costly, motivating the devolopment of early stopping methods and reliable…
We study the optimal investment policy of a firm facing both technological and cash-flow uncertainty. At any point in time, the firm can decide to invest in a standalone technology or to wait for a technological breakthrough. Breakthroughs…
A key part of any evolutionary algorithm is fitness evaluation. When fitness evaluations are corrupted by noise, as happens in many real-world problems as a consequence of various types of uncertainty, a strategy is needed in order to cope…
In this paper we consider two problems on optimal implementation delay of taxation with trade-off for spectrally negative L\'{e}vy insurance risk processes. In the first case, we assume that an insurance company starts to pay tax when its…
We propose a method to bound the expectation of the supremum of the price process in stochastic volatility models. It can be applied, for example, to the rough Bergomi model, avoiding the need to discuss finiteness of higher moments. Our…
People often deviate from expected utility theory when making risky and intertemporal choices. While the effects of probabilistic risk and time delay have been extensively studied in isolation, their interplay and underlying theoretical…
Motivated by the industry practice of pairs trading, we study the optimal timing strategies for trading a mean-reverting price spread. An optimal double stopping problem is formulated to analyze the timing to start and subsequently…
Scheduled batch jobs have been widely used on the asynchronous computing platforms to execute various enterprise applications, including the scheduled notifications and the candidate pre-computation for the modern recommender systems. It is…
We show a methodology for the computation of the probability of deadline miss for a periodic real-time task scheduled by a resource reservation algorithm. We propose a modelling technique for the system that reduces the computation of such…
Optimization is offered as an objective approach to resolving complex, real-world decisions involving uncertainty and conflicting interests. It drives business strategies as well as public policies and, increasingly, lies at the heart of…
In order to handle intense time pressure and survive in dynamic market, software startups have to make crucial decisions constantly on whether to change directions or stay on chosen courses, or in the terms of Lean Startup, to pivot or to…
We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results indicate that the local directional…
This paper presents different methods for solving parallel machine scheduling problems with precedence constraints and setup times between the jobs. Limited discrepancy search methods mixed with local search principles, dominance conditions…
Evaluating the financial performance of manufacturing firms requires consideration of both the time value of money and the relative importance of multiple decision criteria. Conventional approaches relying solely on deterministic…
We consider stopping problems in which a decision maker (DM) faces an unknown state of nature and decides sequentially whether to stop and take an irreversible action; pay a fee and obtain additional information; or wait without acquiring…
Over the last 20 years, a very large number of startups have been launched, ranging from mobile application and game providers to enormous corporations that have started as tiny startups. Startups are an important topic for research and…