This paper studies the impacts of an environmental bond, which fully covers waste cleanup costs, on a mining firm's optimal actions over the full life cycle of a mine, when bankruptcy may shift cleanup costs to the government. A firm's stochastic optimal control problem is described by an HJB...

This paper derives a maximum principle for dynamic systems with continuous lags, i.e., systems governed by integrodifferential equations, using dynamic programming. As a result, the adjoint variables can be provided with useful economic interpretations

The article is devoted to the synthesis of optimal control of the conveyor belt with the accumulating input bunker. Much attention is given to the model of the conveyor belt with a constant speed of the belt. Simulation of the conveyor belt is carried out in the one-moment approximation using...

In this paper we derive useful sufficiency optimality conditions for a class of optimal control problems subject to differential inclusions and involving non-differentiable functions. A production inventory problem is solved to illustrate our results

The problem of optimal control of the parameters of the production flow line - stocks (work in process) and the rate of processing of objects of labour for a technological operation is considered. The article presents a mathematical formulation of the problem of controlling the parameters of a...

A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic control problems as analytical solutions are not tractable...

The Integrated Assessment Model (IAM) has extensively treated the adverse effects of climatechange and the appropriate mitigation policy. We extend such a model to include optimalpolicies for mitigation, adaptation and infrastructure investment studying the dynamics of thetransition to a low...

This paper considers the optimal control problem of a small nonlinear econometric model under parameter uncertainty and passive learning (open-loop feedback). Traditionally, this type of problems has been approached by applying linear-quadratic optimization algorithms. However, the literature...

We develop a high frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to post limit sell and buy orders. By introducing a multifactor mutually exciting process we allow for feedback effects in market buy and sell orders and the shape of the...