We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of t...
We introduce a general approach to model a joint market of stock price and a term structure of variance swaps in an HJM-type framework. In such a model, strongly volatility-depend...
Multi-agent planning in stochastic environments can be framed formally as a decentralized Markov decision problem. Many real-life distributed problems that arise in manufacturing,...
Partially Observable Markov Decision Processes (POMDPs) provide a rich framework for sequential decision-making under uncertainty in stochastic domains. However, solving a POMDP i...
We consider an information-theoretic objective function for statistical modeling of time series that embodies a parametrized trade-off between the predictive power of a model and...
Susanne Still, James P. Crutchfield, Christopher J...