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math.OC2026
Infinite horizon stochastic optimal control with sign-changing discount factor
Charles Bertucci, Jean-Michel Lasry, Pierre-Louis Lions
We study an infinite horizon stochastic optimal control problem by means of the associated Hamilton-Jacobi-Bellman equation. The problem we are studying has the particularity of ha…
math.OC2015
Optimal Real-Time Bidding Strategies
Joaquin Fernandez-Tapia, Olivier Guéant, Jean-Michel Lasry
The ad-trading desks of media-buying agencies are increasingly relying on complex algorithms for purchasing advertising inventory. In particular, Real-Time Bidding (RTB) algorithms…