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作者：Keppo, Jussi; Reppen, A. Max; Soner, H. Mete
作者单位：National University of Singapore; National University of Singapore; Boston University; Princeton University
摘要：We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are given by discrete time processes. Moreover, between two dividend payments, the structure allows for other types of control; we consider the possibility of equity issuance at any point in time. The value is characterized as the fixed point of an optimal contro...
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作者：Carmona, Rene; Wang, Peiqi
作者单位：Princeton University; Bank of America Corporation
摘要：We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chains by means of semimartingales and the weak formulation of stochastic optimal control, our approach not only allows us to tackle the mean field of states and the mean field of control at the same time, but also extends the strategy set of players from Markov strategies to closed-loop strategies. We show the existence and uniqueness of Nash equi...
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作者：Atar, Rami; Lipshutz, David
作者单位：Technion Israel Institute of Technology
摘要：We consider a load-balancing problem for a network of parallel queues in which information on the state of the queues is subject to a delay. In this setting, adopting a routing policy that performs well when applied to the current state of the queues can perform quite poorly when applied to the delayed state of the queues. Viewing this as a problem of control under partial observations, we propose using an estimate of the current queue lengths as the input to the join-the-shortest-queue policy...
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作者：Valizadeh, Mehrdad; Gohari, Amin
作者单位：Sharif University of Technology
摘要：We provide a new tool for simulation of a random variable (target source) from a randomness source with side information. Considering the total variation distance as the measure of precision, this tool offers an upper bound for the precision of simulation, which is vanishing exponentially in the difference of Renyi entropies of the randomness and target sources. This tool finds application in games in which the players wish to generate their actions (target source) as a function of a randomnes...
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作者：Colaneri, Katia; De Angelis, Tiziano
作者单位：University of Rome Tor Vergata; University of Turin; Collegio Carlo Alberto
摘要：In this paper, we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multidimensional Markovian setting, we show that the problem is well posed in the sense that the value is indeed the unique solution to a fixed point problem in a suitable space of continuous functions, and an optimal stopping time exists. We then apply our class of problems to a model for stock tradi...
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作者：Chen, Kexin; Jeon, Junkee; Wong, Hoi Ying
作者单位：Chinese University of Hong Kong; Hong Kong Polytechnic University; Kyung Hee University
摘要：The optimal retirement decision is an optimal stopping problem when retirement is irreversible. We investigate the optimal consumption, investment, and retirement decisions when the mean return of a risky asset is unobservable and is estimated by filtering from historical prices. To ensure nonnegativity of the consumption rate and the borrowing constraints on the wealth process of the representative agent, we conduct our analysis using a duality approach. We link the dual problem to American o...
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作者：Evren, Ozgur; Husseinov, Farhad
作者单位：New Economic School; Ministry of Education of Azerbaijan Republic; ADA University
摘要：Consider a dominance relation (a preorder) >= on a topological space X, such as the greater than or equal to relation on a function space or a stochastic dominance relation on a space of probability measures. Given a compact set K subset of X, we study when a continuous real function on K that is strictly monotonic with respect to >= can be extended to X without violating the continuity and monotonicity conditions. We show that such extensions exist for translation invariant dominance relation...
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作者：Suzuki, Kiyoshi
摘要：Very few studies have explored the structure of optimal switching regimes. We extend the existing research on the infinite-horizon multiple-regime switching problem with an arbitrary number of switch options by replacing the linear running reward function with a quadratic function in the objective function. To make our analysis more rigorous, we establish the theoretical basis for the application of the simultaneous multiple-regime switches to the problem with the extended objective function, ...
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作者：Feldman, Vitaly; Guzman, Cristobal; Vempala, Santosh
作者单位：Apple Inc; Pontificia Universidad Catolica de Chile; Pontificia Universidad Catolica de Chile; University System of Georgia; Georgia Institute of Technology
摘要：Stochastic convex optimization, by which the objective is the expectation of a random convex function, is an important and widely used method with numerous applications in machine learning, statistics, operations research, and other areas. We study the complexity of stochastic convex optimization given only statistical query (SQ) access to the objective function. We show that well-known and popular first-order iterative methods can be implemented using only statistical queries. For many cases ...
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作者：Light, Bar
作者单位：Stanford University
摘要：In multiperiod stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. I analyze how the expected value of this random variable changes as a function of the dynamic optimization parameters in the context of Markov decision processes. I call this analysis stochastic comparative statics. I derive both comparative statics results and stochastic comparative statics results showing how the current a...
