A central bank is usually assigned two functions: the control of inflation and the maintenance of a safetybanking sector. What are the precise conditions under which trigger strategies from the private sector can solve the time inconsistency problem and induce the central bank to choose zero inflation under a nonstationary natural rate? Can an optimal contract be used together with reputation forces to implement a desired socially optimal monetary policy rule? How to design a truthtelling contract to control the risk taking behaviors of the bank? My dissertation attempts to deal with these issues using three primary methodologies: monetary economics, game theory and optimal stochastic control theory.

In sequential testing an observer must choose when to observe additional data points and when to stop observation and make a decision. This stopping rule is traditionally based upon probability of error as well as certain cost parameters. The proposed stopping rule will instruct the observer to cease observation once the expected cost of the next observation increases. There is often a great deal of information about what the observer should see. This information will be used to develop a prior distribution for the parameters. The proposed stopping rule will be analyzed and compared to other stopping rules. Analysis of simulated data shows under which conditions the cost of the proposed stopping rule will approximate the minimum expected cost. / Department of Mathematical Sciences

Thesis (doctoral)--Rheinische Friedrich-Wilhelms-Universität Bonn, 1989. / Includes bibliographical references (p. 82-83).

Ο σκοπός αυτής της διπλωματικής εργασίας είναι να συζητηθούν και να παρουσιαστούν οι υπάρχουσες τεχνικές που εφαρμόζουν την στρατηγική δειγματοληψίας βασισμένη σε γεγονότα για την εκτίμηση της κατάστασης των γραμμικών συστημάτων και να αξιολογηθεί πώς αυτές οι μέθοδοι επηρεάζουν τη συνολική απόδοση του συστήματος. Όπως ήδη αναφέρθηκε, περιορισμοί στον ρυθμό δειγματοληψίας ανακύπτουν στα NCS λόγω του περιορισμένου διαθέσιμου εύρους ζώνης. Αυτός ο περιορισμός στον αριθμό δειγμάτων επηρεάζει σαφώς το μέσο τετραγωνικό σφάλμα εκτίμησης, και η ερώτηση είναι πώς πρέπει να επιλέξουμε τις χρονικές στιγμές δειγματοληψίας προκειμένου να το ελαχιστοποιήσουμε. / The aim of this diploma thesis is to discuss and present existing techniques that apply event-triggered sampling to linear system state estimation, and to evaluate how these methods affect the overall performance of the system. As already mentioned, sampling rate constraints arise in NCS due to the limited bandwidth available. This restriction on the number of samples clearly affects the mean square estimation distortion error, and the question is how we should choose the sampling instants in order to minimize it.

The first essay developed a respondent model of Bayesian updating for a double-bound dichotomous choice (DB-DC) contingent valuation methodology. I demonstrated by way of data simulations that current DB-DC identifications of true willingness-to-pay (WTP) may often fail given this respondent Bayesian updating context. Further simulations demonstrated that a simple extension of current DB-DC identifications derived explicitly from the Bayesian updating behavioral model can correct for much of the WTP bias. Additional results provided caution to viewing respondents as acting strategically toward the second bid. Finally, an empirical application confirmed the simulation outcomes. The second essay applied a hedonic property value model to a unique water quality (WQ) dataset for a year-round, urban, and coastal housing market in South Florida, and found evidence that various WQ measures affect waterfront housing prices in this setting. However, the results indicated that this relationship is not consistent across any of the six particular WQ variables used, and is furthermore dependent upon the specific descriptive statistic employed to represent the WQ measure in the empirical analysis. These results continue to underscore the need to better understand both the WQ measure and its statistical form homebuyers use in making their purchase decision. The third essay addressed a limitation to existing hurricane evacuation modeling aspects by developing a dynamic model of hurricane evacuation behavior. A household’s evacuation decision was framed as an optimal stopping problem where every potential evacuation time period prior to the actual hurricane landfall, the household’s optimal choice is to either evacuate, or to wait one more time period for a revised hurricane forecast. A hypothetical two-period model of evacuation and a realistic multi-period model of evacuation that incorporates actual forecast and evacuation cost data for my designated Gulf of Mexico region were developed for the dynamic analysis. Results from the multi-period model were calibrated with existing evacuation timing data from a number of hurricanes. Given the calibrated dynamic framework, a number of policy questions that plausibly affect the timing of household evacuations were analyzed, and a deeper understanding of existing empirical outcomes in regard to the timing of the evacuation decision was achieved.

My PhD thesis concentrates on the field of stochastic analysis, with focus on stochastic optimization and applications in finance. It is composed of two parts: the first part studies an optimal stopping problem, and the second part studies an optimal control problem. The first topic considers a one-dimensional transient and downwards drifting diffusion process X, and detects the optimal times of a random time(denoted as ρ). In particular, we consider two classes of random times: (1) the last time when the process exits a certain level l; (2) the time when the process reaches its maximum. For each random time, we solve the optimization problem infτ E[λ(τ- ρ)+ +(1-λ)(ρ - τ)+] overall all stopping times. For the last exit time, the process should stop optimally when it runs below some fixed level k the first time, where k is the solution of an explicit defined equation. For the ultimate maximum time, the process should stop optimally when it runs below a boundary which is the maximal positive solution (if exists) of a first-order ordinary differential equation which lies below the line λs for all s > 0 . The second topic solves an optimal consumption and investment problem for a risk-averse investor who is sensitive to declines than to increases of standard living (i.e., the investor is loss averse), and the investment opportunities are constant. We use the tools of stochastic control and duality methods to solve the resulting free-boundary problem in an infinite time horizon. Briefly, the investor consumes constantly when holding a moderate amount of wealth. In bliss time, the investor increases the consumption so that the consumption-wealth ratio reaches some fixed minimum level; in gloom time, the investor decreases the consumption gradually. Moreover, high loss aversion tends to raise the consumption-wealth ratio, but cut the investment-wealth ratio overall.

This thesis studies two discrete optimization problems: ordering problems in optimal stopping theory and popular matchings. The main goal of this thesis is to find the boundary between NP-hardness and tractability for these problems, and whenever possible, designs polynomial-time algorithms for the easy cases and approximation schemes or prophet inequalities for the hard cases. In the first part of the thesis, we study ordering problems in optimal stopping theory. In the optimal stopping problem, a player is presented with 𝓃 random variables 𝑋₁, . . . , 𝑋n, whose distributions are known to the player, but not their realizations. After observing the realization of 𝑋ᵢ, the player can choose to stop and earn reward 𝑋ᵢ, or reject 𝑋ᵢ and probe the next variable 𝑋ᵢ₊₁. If 𝑋ᵢ is rejected, it cannot be accepted in the future. The goal of the player is to maximize the expected reward at stopping time. If the order of observation is fixed, the player can find the optimal stopping criteria using a dynamic program. In this thesis, we investigate the variant in which the player is able to choose the order of observation. What is the best ordering and what benefits does ordering bring? Chapter 2 introduces the optimal ordering problem in optimal stopping theory. We prove that the problem of finding an optimal ordering is NP-hard even in very restricted cases where the support of each distribution has support on at most three points. Next, we prove an FPTAS for the hardness case and provide a tractable algorithm and a prophet inequality for two-point distributions. Chapter 3 studies the optimal ordering problem when the player can choose 𝑘 > 1 rewards before stopping. We show that finding an optimal static ordering is NP-hard even for very simple two-point distributions. Next, we prove an FPTAS for the hardness case and give prophet inequalities under static and dynamic policies for two-point distributions. In the second part of the thesis, we study popular matchings. Suppose we are given a bipartite graph with independent sets 𝑨 and 𝐵. Each vertex in 𝑨 has a ranked order of preferences on the vertices in 𝐵, and vice versa. A matching 𝑴 is popular if for any other matching 𝑴′, the number of vertices that prefer 𝑴 is at least as much as the number of vertices that prefer 𝑴′. Chapter 4 studies popular matchings. In the first part, we provide a general reduction which, through minor adjustments, proves NP-Hardness for a variety of different questions, including that of finding a max-weight popular matching. In the second part, we restrict our attention to graphs of bounded treewidth and provide a tractable algorithm for finding a max-weight popular matching.

京都大学 / 0048 / 新制・課程博士 / 博士(経済学) / 甲第20145号 / 経博第543号 / 新制||経||280(附属図書館) / 京都大学大学院経済学研究科経済学専攻 / (主査)教授 江上 雅彦, 教授 原 千秋, 准教授 砂川 伸幸 / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DGAM

京都大学 / 0048 / 新制・課程博士 / 博士(経済学) / 甲第21530号 / 経博第598号 / 新制||経||289(附属図書館) / 京都大学大学院経済学研究科経済学専攻 / (主査)教授 江上 雅彦, 教授 西山 慶彦, 准教授 砂川 伸幸 / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DGAM

Thesis: Ph. D., Massachusetts Institute of Technology, Department of Civil Engineering, 1980 / Bibliography: leaves 441-455. / by Peter Douglas Hall. / Ph. D. / Ph. D. Massachusetts Institute of Technology, Department of Civil Engineering