Dynamic modeling is general and recently the most interesting perspective to solve a dynamic economic problem based on Pontryagin’s maximum principle. Moreover, according to traditional economic theory, up to the middle of twentieth century, production functions are built without taking into...

We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical...

In this document I analyze a stochastic control model with a two dimensional state variable and fix costs. To illustrate the results, I study a simple Central Bank decision model with multiple objectives and restricted number of policy instruments in which in absence of intervention, objective...

Vickrey tries to solve the socialist problem of shortage, by giving both the buyers and the sellers extra benefit. This paper proves that such squandering leads to more shortage, and argues that the only correct measure to solve shortage is market liberalization

In this paper, we establish a model for market making in options whose underlying is perfectly liquid. In our model framework, the stock price follows a generic stochastic volatility model under the real-world probability measure P. Market participants price options on this stock under a...

We combine a dynamic programming approach (stochastic optimal control) with a multi-stage stochastic programming approach (MSP) in order to solve various problems in personal finance and pensions. Stochastic optimal control produces an optimal policy that is easy to understand and implement....

This paper studies the valuation of multiple American options in an incomplete market where asset prices follow Markov-modulated dynamics. The holder's optimal hedging and exercising strategies are determined from a utility maximization problem with optimal multiple stopping. We analyze the...

We consider an assemble-to-order system with a high volume of prospective customers arriving per unit time. Our objective is to maximize expected infinite horizon discounted profit by choosing product prices, component production capacities, and a dynamic policy for sequencing customer orders...