Plug-in hybrid electric vehicles (PHEVs) have been recognized as one of the most promising vehicle categories nowadays due to their low fuel consumption and reduced emissions. Energy management is critical for improving the performance of PHEVs. This paper proposes an energy management approach...

We study optimal experimentation by a monopolistic platform in a two-sided market. The platform provider is uncertain about the strength of the externality each side is exerting on the other. Setting participation fees on both sides, it gradually learns about these externalities by observing...

We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical...

In this document I analyze a stochastic control model with a two dimensional state variable and fix costs. To illustrate the results, I study a simple Central Bank decision model with multiple objectives and restricted number of policy instruments in which in absence of intervention, objective...

Vickrey tries to solve the socialist problem of shortage, by giving both the buyers and the sellers extra benefit. This paper proves that such squandering leads to more shortage, and argues that the only correct measure to solve shortage is market liberalization

In this paper, we establish a model for market making in options whose underlying is perfectly liquid. In our model framework, the stock price follows a generic stochastic volatility model under the real-world probability measure P. Market participants price options on this stock under a...