The construction of automatic Financial Trading Systems (FTSs) is a subject of research of high interest for both academic environment and financial one due to the potential promises by self-learning methodologies and by the increasing power of actual computers. In this paper we consider...

In this paper I study the e¤ects of environmental regulation which establishes upper and lower binding targets to pollution emissions. Essentially, I deal with the properties of a stochastic model of pollution control in continuous-time under emission targets and uncertainty, emphasizing...

In this article we analyze how the presence of thresholds influences multi agent decision making situations. We introduce a class of discounted autonomous optimal control problems with threshold effects and discuss tools to analyze these problems. Later, using these results we investigate two...

In this contribution we propose an approach to solve a multistage stochastic programming problem which allows us to obtain a time and nodal decomposition of the original problem. This double decomposition is achieved applying a discrete time optimal control formulation to the original stochastic...

In this paper, the problem of machine replacement in a changing technological environment is formulated as a problem in modern control theory. The objective is to maximize the present value of all future net profits over a class of infinite chains of machines where each link in the chain...

This paper determines the optimal timing of dike heightenings as well as the corresponding optimal dike heightenings to protect against floods. To derive the optimal policy we design an algorithm based on the Impulse Control Maximum Principle. In this way the paper presents one of the first real...

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...