This paper introduces recent developments in the analysis of inventory systems with partial observations. The states of these systems are typically conditional distributions, which evolve in infinite dimensional spaces over time. Our analysis involves introducing unnormalized probabilities to...

Dynamic optimization is widely used in financial economics, macroeconomics and resource economics. This is accounting for some friction between the undergraduate and graduate teaching of economics because most undergraduate programs still concentrate on static economic analysis. This paper shows...

In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with high-dimensional state space and complex dependence structure of the underlying Markov process with...

We investigate a class of optimal control problems that exhibit constant exogenously given delays in the control in the equation of motion of the differential states. Therefore, we formulate an exemplary optimal control problem with one stock and one control variable and review some analytic...

We study the optimal control of a pollutant that accumulates with a delay.We find that optimal paths are, in general, non-monotonic and oscillatory, but monotonic if the objective function is additively separable. Hence, using additively separable objective functions as an approximation to a...