Microfinance can be an important tool for fighting global poverty by increasing access to loans and possibly lowering interest rates through microlending. However, the dominant mechanism used by online microfinance platforms, in which intermediaries administer loans, has profound implications...

Problem definition: Price promotion is an efficient way to gain the market share due to the fact that all consumers are price sensitive. Even so, consumers are also sensitive to the service satisfaction, e.g., logistic service. Fierce price promotion can boost demand, but also makes the system...

Given p ∈ (1,2), the wellposedness of backward stochastic differential equations with jumps (BSDEJs) in Lp sense gives rise to a general (conditional) nonlinear expectation with Lp domain that is consistent with the filtration generated by a Brownian motion and a Poisson random measure (jump...

In this paper we extend the notion of “filtration-consistent nonlinear expectation” (or “F-consistent nonlinear expectation”) to the case when it is allowed to be dominated by a g-expectation that may have a quadratic growth. We show that for such a nonlinear expectation many fundamental...

Uberization promises to transform society based on an intuitive proposition: Advanced peer-to-peer matching guarantees greater overall efficiency. Here we show a paradox challenging this proposition in uberized ride-hail service, known as e-hail. By analyzing hundreds of local markets in...

We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called probability of drawdown, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its maximum value to date. We assume that the portfolio is...

Oft-cited causes of mini-flash crashes include human errors, endogenous feedback loops, the nature of modern liquidity provision, fundamental value shocks, and market fragmentation. We develop a mathematical model which captures aspects of the first three explanations. Empirical features of...

We study a risk sensitive control version of the lifetime ruin probability problem. We consider a sequence of investments problems in Black-Scholes market that includes a risky asset and a riskless asset. We present a differential game that governs the limit behavior. We solve it explicitly and...