相关论文: Strategic control for a Boltzmann like decision-ma…

In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This construction, while allowing time and risk attitudes to be separated,…

This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider the optimal allocation of wealth among multiple…

Understanding control mechanisms in biological systems plays a crucial role in important applications, for instance in cell reprogramming. Boolean modeling allows the identification of possible efficient strategies, helping to reduce the…

We investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness results for the value functions of the portfolio/consumption choice problem. As an…

In this work we study a simple mathematical model to analyze the emergence and control of radicalization phenomena. The population consisits of core and sensitive subpopulations, and their ways of life may be at least partially…

The behavior of users in relatively predictable, both in terms of the data they request and the wireless channels they observe. In this paper, we consider the statistics of such predictable patterns of the demand and channel jointly across…

We introduce the logistic model of consumption growth, which captures a negative feedback loop preventing an unlimited growth of consumption due to finite biophysical resources of our planet. This simple dynamic model allows for derivation…

We study the problem of choosing optimal policy rules in uncertain environments using models that may be incomplete and/or partially identified. We consider a policymaker who wishes to choose a policy to maximize a particular counterfactual…

In stochastic multi-factor commodity models, it is often the case that futures prices are explained by two latent state variables which represent the short and long term stochastic factors. In this work, we develop the family of stochastic…

We study the trade-off between envy and inefficiency in repeated resource allocation settings with stochastic replenishments, motivated by real-world systems such as food banks and medical supply chains. Specifically, we consider a model in…

In this paper mechanisms of reversion - momentum transition are considered. Two basic nonlinear mechanisms are highlighted: a slow and fast bifurcation. A slow bifurcation leads to the equilibrium evolution, preceded by stability loss delay…

This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…

We study the interaction of saddle-node and transcritical bifurcations in a Lotka-Volterra model with a constant term representing harvesting or migration. Because some of the equilibria of the model lie on an invariant coordinate axis,…

We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…

In this work, we study the optimization problem of a renewable resource in finite time. The resource is assumed to evolve according to a logistic stochastic differential equation. The manager may harvest partially the resource at any time…

The study of interactions between multiple species in an ecosystem is an active and impactful direction of inquiry. This is true in particular for fragile systems in which even small perturbations of their functional parameters can produce…

We consider a class of learning problems in which an agent liquidates a risky asset while creating both transient price impact driven by an unknown convolution propagator and linear temporary price impact with an unknown parameter. We…

Robust model predictive control algorithms are essential for addressing unavoidable errors due to the uncertainty in predicting real-world systems. However, the formulation of such algorithms typically results in a trade-off between…

We investigate a class of binary choice models with social interactions. We propose a unifying perspective that integrates economic models using a utility function and psychological models using an impact function. A general approach for…

One of the fundamental assumptions in stochastic control of continuous time processes is that the dynamics of the underlying (diffusion) process is known. This is, however, usually obviously not fulfilled in practice. On the other hand,…