It is well known that backward stochastic differential equations (BSDEs) stem from the study on the Pontryagin type maximum principle for optional stochastic control. A solution of a BSDE hits a given terminal value (which is a random variable) by virtue of an additional martingale term and an...

We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.

The recent financial crises, especially the debt crisis in Asia, have led to questions su ch as: what are their causes, what is an excessive debt and how vulnerable is an economy to external shocks? We develop an economic model of international finance and debt based upon two sources of...

Purpose – The purpose of this paper is to present a systematic design procedure along with modeling and simulation of a medium‐scale centralized dc‐bus grid connected hybrid (wind turbine (WT) and photovoltaic (PV)) power system (GCHWPPS) for supplying electric power to a three‐phase...

Purpose – This paper aims to describe an application of key concepts in agency theory to organizational development. Specifically, it seeks to highlight that formal control systems, the ways to regulate employees' performance, are associated with an important factor for organizational...

The relevant dynamics of a queueing process can be anticipated by taking future arrivals into account. If the transport from one queue to another is associated with transportation delays, as it is typical for traffic or productions networks, future arrivals to a queue are known over some time...