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作者：Ernst, Philip A.; Rogers, L. C. G.
作者单位：Rice University; University of Cambridge
摘要：An investor may invest in a riskless bank account and in a stock that is a standard Black-Scholes asset with occasional Gaussian jumps of the log price, as proposed by Merton [Merton RC (1976) Option pricing when underlying stock returns are discontinuous. J. Financial Econom. 3(1):125-144.]. It is well known how to solve the standard running consumption problem for this investor, which we take as a benchmark for comparing the performance of two different insiders, one who knows in advance of ...
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作者：Blanchet, Jose; Chen, Xinyun
作者单位：Stanford University; The Chinese University of Hong Kong, Shenzhen
摘要：We provide the first rate of convergence to stationarity analysis for reflected Brownian motion (RBM) as the dimension grows under some uniformity conditions. In particular, if the underlying routing matrix is uniformly contractive, uniform stability of the drift vector holds, and the variances of the underlying Brownian motion (BM) are bounded, then we show that the RBM converges exponentially fast to stationarity with a relaxation time of order O(d(4)(log(d))(3)) as the dimension d -> infini...
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作者：Dadush, Daniel; Vegh, Laszlo A.; Zambelli, Giacomo
作者单位：University of London; London School Economics & Political Science
摘要：We propose simple polynomial-time algorithms for two linear conic feasibility problems. For a matrix A is an element of R-mxn, the kernel problem requires a positive vector in the kernel of A, and the image problem requires a positive vector in the image of A(T). Both algorithms iterate between simple first-order steps and resealing steps. These rescalings improve natural geometric potentials. If Goffin's condition measure rho(A) is negative, then the kernel problem is feasible, and the worst-...
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作者：Bade, Sophie
作者单位：University of London; Royal Holloway University London; Max Planck Society
摘要：Fix a Pareto-optimal, strategy-proof, and nonbossy deterministic matching mechanism and define a random matching mechanism by assigning agents to the roles in the mechanism via a uniform lottery. Given a profile of preferences, the lottery over outcomes that arises under the random matching mechanism is identical to the lottery that arises under random serial dictatorship, where the order of dictators is uniformly distributed. This result extends the celebrated equivalence between the core fro...
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作者：Xu, Zuo Quan; Yi, Fahuai
作者单位：Hong Kong Polytechnic University; Guangdong University of Foreign Studies
摘要：In practice, one must recognize the inevitable incompleteness of information while making decisions. In this paper, we consider the optimal redeeming problem of stock loans under a state of incomplete information presented by the uncertainty in the (bull or bear) trends of the underlying stock. This is called drift uncertainty. Owing to the unavoidable need for the estimation of trends while making decisions, the related Hamilton-Jacobi-Bellman equation turns out to be of a degenerate paraboli...
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作者：Kim, Michael Jong
作者单位：University of British Columbia
摘要：Sequential Bayesian optimization constitutes an important and broad class of problems where model parameters are not known a priori but need to be learned over time using Bayesian updating. It is known that the solution to these problems can in principle be obtained by solving the Bayesian dynamic programming (BDP) equation. Although the BDP equation can be solved in certain special cases (for example, when posteriors have low-dimensional representations), solving this equation in general is c...
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作者：Federgruen, Awi; Liu, Zhe; Lu, Lijian
作者单位：Columbia University
摘要：We address a general periodic review inventory control model with the simultaneous presence of the following complications: (a) bilateral inventory adjustment options, via procurement orders and salvage sales or returns to the supplier; (b) fixed costs associated with procurement orders and downward inventory adjustments (via salvage sales or returns); and (c) capacity limits associated with upward or downward inventory adjustments. We characterize the optimal adjustment strategy, both for fin...
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作者：Karimi, Mehdi; Tuncel, Levent
作者单位：University of Waterloo
摘要：We study infeasible-start, primal-dual interior-point methods for convex optimization problems given in a typically natural form we denote as domain-driven formulations. Our algorithms extend many advantages of primal-dual interior-point techniques available for conic formulations, such as the current best complexity bounds, and more robust certificates of approximate optimality, unboundedness, and infeasibility, to domain-driven formulations. The complexity results are new for the infeasible-...
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作者：Lei, Jinlong; Shanbhag, Uday, V; Pang, Jong-Shi; Sen, Suvrajeet
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Southern California
摘要：In this paper, we consider a stochastic Nash game in which each player minimizes a parameterized expectation-valued convex objective function. In deterministic regimes, proximal best-response (BR) schemes have been shown to be convergent under a suitable spectral property associated with the proximal BR map. However, a direct application of this scheme to stochastic settings requires obtaining exact solutions to stochastic optimization problems at each iteration. Instead, we propose an inexact...
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作者：Singh, Mohit; Xie, Weijun
作者单位：University System of Georgia; Georgia Institute of Technology; Virginia Polytechnic Institute & State University
摘要：Experimental design is a classical statistics problem, and its aim is to estimate an unknown vector from linear measurements where a Gaussian noise is introduced in each measurement. For the combinatorial experimental design problem, the goal is to pick a subset of experiments so as to make the most accurate estimate of the unknown parameters. In this paper, we will study one of the most robust measures of error estimation-the D-optimality criterion, which corresponds to minimizing the volume ...
