We study adversarial market making with orders that remain active until execution. The maker operates on two markets: a primary market where orders are made and a secondary market where the resulting...
arXiv:2610.09691v1 Announce Type: cross Abstract: We study online learning in market making, where, at each round, a market maker posts bid and ask prices before observing the market price and the pr...
arXiv:2606. 03736v2 Announce Type: replace-cross Abstract: We study resource-constrained dynamic pricing when the seller seeks revenue and valid inference about demand at a price fixed before the selling season.
arXiv:2609.13547v1 Announce Type: new Abstract: We study switching regret in adversarial multi-armed bandits, where the learner competes with an arm sequence that changes at most $S$ times. When $S$...
arXiv:2607. 02196v1 Announce Type: new Abstract: We study online resource allocation when both rewards and consumption sizes may be continuously distributed.
arXiv:2610. 12153v1 Announce Type: new Abstract: We study episodic constrained Markov decision processes with adversarial losses under stochastic hard constraints.
arXiv:2505.02796v3 Announce Type: replace-cross Abstract: We study budget pacing in repeated first-price auctions when an advertiser's private-value distributions change over time and the stationary...
arXiv:2606. 09668v1 Announce Type: new Abstract: Contextual queueing bandits provide a framework for learning to schedule heterogeneous jobs under unknown context-dependent service rates.
The paper studies contextual bilateral trade with full feedback, showing that action-independent observations eliminate the usual polynomial adaptation penalty seen in heavy-tailed bandits. It presents fully parameter-free algorithms that achieve oracle minimax regret rates without knowing the moment order or scale, and derives new regret bounds for both parametric and nonparametric settings. The key technical insight is a paired squared‑loss statistic whose noise cancels, enabling model selection and yielding regret rates that interpolate between classical nonparametric and linear extremes.
arXiv:2603. 25029v4 Announce Type: replace Abstract: We study online convex optimization (OCO) with two-point bandit feedback against a non-anticipating adaptive adversary.
The paper investigates transfer learning in stochastic multi‑armed bandits when historical data come from an unknown adaptive policy. It establishes asymptotic problem‑dependent lower bounds and introduces the KL‑UCB‑Transfer algorithm, which combines online and historical data to achieve logarithmic regret with an improved constant under certain mean‑gap conditions. The study also relaxes the source‑target discrepancy assumption to a one‑sided condition, demonstrating that logarithmic regret can still be achieved under misspecification and identifying regimes of improvement, degradation, or loss of guarantee.
arXiv:2606. 27448v1 Announce Type: new Abstract: This paper studies the problem of regret minimization in Markovian bandits with \emph{non-observable states} and possibly \emph{constrained} decision epochs.