In this work we investigate an optimal closure problem under Knightian uncertainty. We obtain the value function and an optimal control as the minimal (super-)solution of a second order BSDE with monotone generator and with a singular terminal condition.
In this note we prove the uniqueness of solutions to a class of Mean Field Games systems subject to possibly degenerate individual noise. Our results hold true for arbitrary long time horizons and for general non-separable Hamiltonians that satisfy a
so-called $displacement monotonicity$ condition. Ours are the first global in time uniqueness results, beyond the well-known Lasry-Lions monotonicity condition, for the Mean Field Games systems involving non-separable Hamiltonians. The displacement monotonicity assumptions imposed on the data provide actually not only uniqueness, but also the existence and regularity of the solutions.
We propose a new approach for solving a class of discrete decision making problems under uncertainty with positive cost. This issue concerns multiple and diverse fields such as engineering, economics, artificial intelligence, cognitive science and ma
ny others. Basically, an agent has to choose a single or series of actions from a set of options, without knowing for sure their consequences. Schematically, two main approaches have been followed: either the agent learns which option is the correct one to choose in a given situation by trial and error, or the agent already has some knowledge on the possible consequences of his decisions; this knowledge being generally expressed as a conditional probability distribution. In the latter case, several optimal or suboptimal methods have been proposed to exploit this uncertain knowledge in various contexts. In this work, we propose following a different approach, based on the geometric intuition of distance. More precisely, we define a goal independent quasimetric structure on the state space, taking into account both cost function and transition probability. We then compare precision and computation time with classical approaches.
In this paper, we prove the existence and uniqueness result of the reflected BSDE with two continuous barriers under monotonicity and general increasing condition on $y$, with Lipschitz condition on $z$.
A basic problem in operator theory is to estimate how a small perturbation effects the eigenspaces of a self-adjoint compact operator. In this paper, we prove upper bounds for the subspace distance, taylored for structured random perturbations. As a
main example, we consider the empirical covariance operator, and show that a sharp bound can be achieved under a relative gap condition. The proof is based on a novel contraction phenomenon, contrasting previous spectral perturbation approaches.
We investigate revenue guarantees for auction mechanisms in a model where a distribution is specified for each bidder, but only some of the distributions are correct. The subset of bidders whose distribution is correctly specified (henceforth, the gr
een bidders) is unknown to the auctioneer. The question we address is whether the auctioneer can run a mechanism that is guaranteed to obtain at least as much revenue, in expectation, as would be obtained by running an optimal mechanism on the green bidders only. For single-parameter feasibility environments, we find that the answer depends on the feasibility constraint. For matroid environments, running the optimal mechanism using all the specified distributions (including the incorrect ones) guarantees at least as much revenue in expectation as running the optimal mechanism on the green bidders. For any feasibility constraint that is not a matroid, there exists a way of setting the specified distributions and the true distributions such that the opposite conclusion holds.