相关论文: Existence and Uniqueness of Recursive Utility Mode…
Random Utility Models (RUMs) are a classical framework for modeling user preferences and play a key role in reward modeling for Reinforcement Learning from Human Feedback (RLHF). However, a crucial shortcoming of many of these techniques is…
The recursive logit (RL) model has become a widely used framework for route choice modeling, but it suffers from a key limitation: it assigns nonzero probabilities to all paths in the network, including those that are unrealistic, such as…
A mixture preorder is a preorder on a mixture space (such as a convex set) that is compatible with the mixing operation. In decision theoretic terms, it satisfies the central expected utility axiom of strong independence. We consider when a…
Andrew Pitts' framework of relational properties of domains is a powerful method for defining predicates or relations on domains, with applications ranging from reasoning principles for program equivalence to proofs of adequacy connecting…
In this paper, we study a Markov decision process with a non-linear discount function and with a Borel state space. We define a recursive discounted utility, which resembles non-additive utility functions considered in a number of models in…
We prove uniqueness in law for possibly degenerate SDEs having a linear part in the drift term. Diffusion coefficients corresponding to non-degenerate directions of the noise are assumed to be continuous. When the diffusion part is constant…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
Bougerol (1993) and Straumann and Mikosch (2006) gave conditions under which there exists a unique stationary and ergodic solution to the stochastic difference equation $Y_t \overset{a.s.}{=} \Phi_t (Y_{t-1}), t \in \mathbb{Z}$ where…
The existence of singularities of the solution for a class of Lax equations is investigated using a development of the fac- torization method first proposed by Semenov-Tian-Shansky and Reymann [11], [9]. It is shown that the existence of a…
We reexamine the characterization of incentive compatible single-parameter mechanisms introduced in Archer & Tardos(2001). We argue that the claimed uniqueness result, called `Myerson's Lemma' was not well established. We provide an…
We consider a system of PDEs of Monge-Kantorovich type that, in the isotropic case, describes the stationary configurations of two-layers models in granular matter theory with a general source and a general boundary data. We propose a new…
The Merton investment-consumption problem is fundamental, both in the field of finance, and in stochastic control. An important extension of the problem adds transaction costs, which is highly relevant from a financial perspective but also…
We consider the problem of finding consistent upper price bounds and super replication strategies for exotic options, given the observation of call prices in the market. This field of research is called model-independent finance and has…
An overview of the recursive equations based models and their applications in simulation based analysis and optimization of queueing systems is given. These models provide a variety of systems with a convenient and unified representation in…
A theory of recursive definitions has been mechanized in Isabelle's Zermelo-Fraenkel (ZF) set theory. The objective is to support the formalization of particular recursive definitions for use in verification, semantics proofs and other…
The necessary conditions for an optimal control of a stochastic control problem with recursive utilities is investigated. The first order condition is the the well-known Pontryagin type maximum principle. When the optimal control satisfying…
Ensuring sufficient exploration is a central challenge when training meta-reinforcement learning (meta-RL) agents to solve novel environments. Conventional solutions to the exploration-exploitation dilemma inject explicit incentives such as…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
Aggregating risks from multiple sources can be complex and demanding, and decision makers usually adopt heuristics to simplify the evaluation process. This paper axiomatizes two closed related and yet different heuristics, narrow bracketing…
In this note we show that if a continuous-time, nonlinear, time-invariant, finite-dimensional system evolves on a compact subset of Rn and if the Jacobian of the vector field is Hurwitz at each point of the compact set, then there is a…