In this paper we describe three different algorithms, from which two (as far as we know) are new in the literature. We take both the size of the jump as the jump times as decision variables. The first (new) algorithm considers an Impulse Control problem as a (multipoint) Boundary Value Problem...

This paper considers a firm that has the option to undertake product innovations. For each product innovation the firm has to install a new production plant. We find that investments are larger and occur in a later stadium when more of the old capital stock needs to be scrapped. Moreover, we...

Optimal control of dynamic econometric models has a wide variety of applications including economic policy relevant issues. There are several algorithms extending the basic case of a linear-quadratic optimization and taking nonlinearity and stochastics into account, but being still limited in a...

We aim to calibrate stochastic volatility models from option prices. We develop an optimal control approach to recover the risk neutral drift term of stochastic volatility. An efficient numerical algorithm is given. Numerical results and empirical studies are presented to demonstrate our...

Optimal control of dynamic econometric models has a wide variety of applications including economic policy relevant issues. There are several algorithms extending the basic case of a linear-quadratic optimization and taking nonlinearity and stochastics into account, but being still limited in a...

We examine within a life-cycle set-up the simultaneous choice of health care and retirement (together with consumption), when health care contributes to both a reduction in mortality and in morbidity. Health tends to impact on retirement via morbidity, determining the disutility of work, and...