Search Results - subject:"Stochastic control problem"

Peitz, Martin; Rady, Sven; Trepper, Piers - 2015

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...

Persistent link: https://www.econbiz.de/10010518802

Stochastic optimal control for online seller under reputational mechanisms

Bradonjić, Milan; Causley, Matthew; Cohen, Albert - In: Risks : open access journal 3 (2015) 4, pp. 553-572

In this work we propose and analyze a model which addresses the pulsing behavior of sellers in an online auction (store). This pulsing behavior is observed when sellers switch between advertising and processing states. We assert that a seller switches her state in order to maximize her profit,...

Persistent link: https://www.econbiz.de/10011402776

Évaluer l'effet des politiques publiques locales avec les contrôles synthétiques et les modèles à facteurs : une application au marché du poisson français

Gobillon, Laurent; Wolff, François-Charles - 2015

Persistent link: https://www.econbiz.de/10011671124

Inflation-Forecast Targeting : Applying the Principle of Transparency

Clinton, Kevin - 2015

Many central banks in emerging and advanced economies have adopted an inflation-forecast targeting (IFT) approach to monetary policy, in order to successfully establish a stable, low-inflation environment. To support policy making, each has developed a structured system of forecasting and policy...

Persistent link: https://www.econbiz.de/10013019008

Q-Learning and SARSA : A Comparison between Two Intelligent Stochastic Control Approaches for Financial Trading

Corazza, Marco - 2015

The purpose of this paper is to solve a stochastic control problem consisting of optimizing the management of a trading …

Persistent link: https://www.econbiz.de/10013021143

Experimentation in Two-Sided Markets

Peitz, Martin - 2015

Persistent link: https://www.econbiz.de/10013037492

ERM in an Optimal Control Framework

Taylor, Greg - 2015

Much of ERM consists of qualitative discussion of the risks facing a business and controls over them. It is difficult to identify in the literature a clear body of theory to provide the foundation for the subject, integrating a business's objectives with its risk controls.The present paper...

Persistent link: https://www.econbiz.de/10013015535

Necessary and Sufficient Conditions for Optimal Control Problems with Linear State, Semicontinuous Lagrangians

Martimort, David; Stole, Lars - 2015

We present a set of necessary and sufficient conditions for a class of optimal control problems with pure state constraints for which the objective function is linear in the state variable but the objective function is otherwise only restricted to be upper semi-continuous in the control variable

Persistent link: https://www.econbiz.de/10014148619

Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization

Luo, Xiaolin - 2015

control problem. This product simultaneously deals with financial risk, mortality risk and human behavior. We assume that … control problem is based on a robust and efficient Gauss-Hermite quadrature method with cubic spline. We present results for … Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behavior solved as an optimal stochastic …

Persistent link: https://www.econbiz.de/10013031777

Experimentation in Two-Sided Markets

Peitz, Martin - 2015

Persistent link: https://www.econbiz.de/10013022496