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作者：Bensoussan, Alain; Park, Seyoung
作者单位：University of Texas System; University of Texas Dallas; City University of Hong Kong; University of Nottingham
摘要：We develop a new dynamic continuous -time model of optimal consumption and investment to include independent stochastic labor income. We reduce the problem of solving the Bellman equation to a problem of solving an integral equation. We then explicitly characterize the optimal consumption and investment strategy as a function of incometo -wealth ratio. We provide some analytical comparative statics associated with the value function and optimal strategies. We also develop a quite general numer...
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作者：Loeffen, Ronnie; Patie, Pierre; Wang, Jian
作者单位：University of Liverpool; Cornell University
摘要：We develop a comprehensive methodology for the fluctuation theory of continuous-time, skip-free Markov chains, extending and improving the recent work of Choi and Patie for discrete-time, skip-free Markov chains. As a significant application, we use it to derive a full set of fluctuation identities regarding exiting a finite or infinite interval for Markov branching processes with immigration, thereby uncovering many new results for this classic family of continuous-time Markov chains. The the...
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作者：Zhao, Jingyang; Xiao, Mingyu
作者单位：University of Electronic Science & Technology of China
摘要：The bipartite traveling tournament problem (BTTP) addresses interleague sports scheduling, which aims to design a feasible bipartite tournament between two n-team leagues under some constraints such that the total traveling distance of all participating teams is minimized. Since its introduction, several methods have been developed to design feasible schedules for the National Basketball Association (NBA), Nippon Professional Baseball (NPB), and so on. In terms of solution quality with a theor...
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作者：Brustle, Johannes; Perez-Salazar, Sebastian; Verdugo, Victor
作者单位：Sapienza University Rome; Rice University; Rice University; Pontificia Universidad Catolica de Chile; Pontificia Universidad Catolica de Chile
摘要：The prophet inequality is one of the cornerstone problems in optimal stopping theory and has become a crucial tool for designing sequential algorithms in Bayesian settings. In the i.i.d. k-selection prophet inequality problem, we sequentially observe n nonnegative random values sampled from a known distribution. Each time, a decision is made to accept or reject the value, and under the constraint of accepting at most k items. For k = 1, Hill and Kertz [Ann. Probab. 1982] provided an upper boun...
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作者：Conforti, Michele; Kaibel, Volker
作者单位：University of Padua; Otto von Guericke University
摘要：For a subset T of nodes of an undirected graph G, a T-Steiner cut is a cut delta(S) with T boolean AND S not equal & oslash; and T\S not equal & oslash;. The T-Steiner cut dominant of G is the dominant CUT+(G,T)of the convex hull of the incidence vectors of the T-Steiner cuts of G. For T={s,t}, this is the well-understood s-t-cut dominant. Choosing T as the set of all nodes of G, we obtain the cut dominant for which an outer description in the space of the original variables is still not known...
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作者：Laurent, Monique; Polak, Sven; Vargas, Luis Felipe
作者单位：Centrum Wiskunde & Informatica (CWI); Tilburg University; Universita della Svizzera Italiana
摘要：We investigate some graph parameters dealing with bi-independent pairs (A , B) in a bipartite graph G = (V1 U V2 , E), that is, pairs (A , B) where A c V1 , B c V2 , and A U B are independent. These parameters also allow us to study bicliques in general graphs. When maximizing the cardinality |A U B|, one finds the stability number alpha(G), wellknown to be polynomial -time computable. When maximizing the product |A | center dot | B |, one finds the parameter g(G), shown to be NP -hard by Peet...
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作者：Deng, Shuoqing; Yu, Xiang; Zhang, Jiacheng
作者单位：Hong Kong University of Science & Technology; Hong Kong Polytechnic University; Chinese University of Hong Kong
摘要：This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude function that reflects the aggregation rule chosen by the central planner. The resulting optimal stopping problem is time-inconsistent, for which we develop an iterative approach using consistent planning and characterize all time-consistent mild equilibria...
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作者：Caragiannis, Ioannis; Kanellopoulos, Panagiotis; Kyropoulou, Maria
作者单位：Aarhus University; University of Essex
摘要：With very few exceptions, recent research in fair division has mostly focused on deterministic allocations. Deviating from this trend, we study the fairness notion of interim envy-freeness (iEF) for lotteries over allocations, which serves as a sweet spot between the too-stringent notion of ex post envy-freeness and the very weak notion of ex ante envy freeness. Our analysis relates iEF to other fairness notions as well and reveals trade-offs between iEF and efficiency. Even though several of ...
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作者：Hua, Zheng; Qu, Zheng
作者单位：University of Hong Kong; Shenzhen University
摘要：In this paper, we address the effective degree bound problem for Lasserre's hierarchy of moment-sum-of-squares (SOS) relaxations in polynomial optimization involving n variables. We assume that the first n equality constraint polynomials g1, ... ,gn do not share any nontrivial common complex zero locus at infinity and that the optimal solutions are nonsingular. Under these conditions, we derive an effective degree bound for the exactness of Lasserre's hierarchy. Importantly, the assumption of ...
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作者：Bovo, Andrea; De Angelis, Tiziano; Issoglio, Elena
作者单位：University of Turin; University of Turin
摘要：We study a class of zero-sum games between a singular controller and a stopper over a finite-time horizon. The underlying process is a multidimensional (locally nondegenerate) controlled stochastic differential equation (SDE) evolving in an unbounded domain. We prove that such games admit a value and provide an optimal strategy for the stopper. The value of the game is shown to be the maximal solution in a suitable Sobolev class of a variational inequality of min-max type with an obstacle cons...
