6,519 research outputs found
Singular recursive utility
We introduce the concept of singular recursive utility. This leads to a kind
of singular BSDE which, to the best of our knowledge, has not been studied
before. We show conditions for existence and uniqueness of a solution for this
kind of singular BSDE. Furthermore, we analyze the problem of maximizing the
singular recursive utility. We derive sufficient and necessary maximum
principles for this problem, and connect it to the Skorohod reflection problem.
Finally, we apply our results to a specific cash flow. In this case, we find
that the optimal consumption rate is given by the solution to the corresponding
Skorohod reflection problem
A tutorial on recursive models for analyzing and predicting path choice behavior
The problem at the heart of this tutorial consists in modeling the path
choice behavior of network users. This problem has been extensively studied in
transportation science, where it is known as the route choice problem. In this
literature, individuals' choice of paths are typically predicted using discrete
choice models. This article is a tutorial on a specific category of discrete
choice models called recursive, and it makes three main contributions: First,
for the purpose of assisting future research on route choice, we provide a
comprehensive background on the problem, linking it to different fields
including inverse optimization and inverse reinforcement learning. Second, we
formally introduce the problem and the recursive modeling idea along with an
overview of existing models, their properties and applications. Third, we
extensively analyze illustrative examples from different angles so that a
novice reader can gain intuition on the problem and the advantages provided by
recursive models in comparison to path-based ones
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