相关论文: Optimal exit decision of venture capital under tim…

This paper investigates the exit-time problem for time-inhomogeneous diffusion processes. The focus is on the small-noise behavior of the exit time from a bounded positively invariant domain. We demonstrate that, when the drift and…

A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…

We study continuous-time portfolio selection under monotone mean-variance (MMV) preferences in a jump-diffusion model, presenting an explicit solution different from that under classical mean-variance (MV) preferences in dynamic settings…

Recent theoretical results establish that time-consistent valuations (i.e. pricing operators) can be created by backward iteration of one-period valuations. In this paper we investigate the continuous-time limits of well-known actuarial…

A group of experts, for instance climate scientists, is to choose among two policies $f$ and $g$. Consider the following decision rule. If all experts agree that the expected utility of $f$ is higher than the expected utility of $g$, the…

This paper investigates a time-inconsistent portfolio selection problem in the incomplete mar ket model, integrating expected utility maximization with risk control. The objective functional balances the expected utility and variance on log…

Recommending appropriate travel destinations to consumers based on contextual information such as their check-in time and location is a primary objective of Point-of-Interest (POI) recommender systems. However, the issue of contextual bias…

In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…

Energy efficient real-time task scheduling attracted a lot of attention in the past decade. Most of the time, deterministic execution lengths for tasks were considered, but this model fits less and less with the reality, especially with the…

Preference judgments have been demonstrated as a better alternative to graded judgments to assess the relevance of documents relative to queries. Existing work has verified transitivity among preference judgments when collected from trained…

In recommender systems, modeling user-item behaviors is essential for user representation learning. Existing sequential recommenders consider the sequential correlations between historically interacted items for capturing users' historical…

As processes around hybrid work, spatially distant collaborations, and work-life boundaries grow increasingly complex, managing workers' schedules for synchronous meetings has become a critical aspect of building successful global teams.…

The development of new methods and representations for temporal decision-making requires a principled basis for characterizing and measuring the flexibility of decision strategies in the face of uncertainty. Our goal in this paper is to…

In its simplest form, the traffic flow prediction problem is restricted to predicting a single time-step into the future. Multi-step traffic flow prediction extends this set-up to the case where predicting multiple time-steps into the…

This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…

The changes in user preferences can originate from substantial reasons, like personality shift, or transient and circumstantial ones, like seasonal changes in item popularities. Disregarding these temporal drifts in modelling user…

We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…

The most commonly accepted model for investors' preferences is expected utility theory. More recently, other theories have emerged and pose new challenges to mathematics. The present paper treats preferences of cumulative prospect theory…

When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this…

We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and…