This paper studies a continuous-time life-cycle model with a consumption-leisure choice made by a finitely-lived agent with a random lifetime. We explicitly account for the leisure constraint in the corresponding constrained optimal control problem with a commonly postulated solution structure,...

This paper deals with discrete-time Markov control processes in Borel spaces, with unbounded rewards. The criterion to be optimized is a long-run sample-path (or pathwise) average reward subject to constraints on a long-run pathwise average cost. To study this pathwise problem, we give...

This paper deals with discrete-time Markov control processes in Borel spaces, with unbounded rewards. The criterion to be optimized is a long-run sample-path (or pathwise) average reward subject to constraints on a long-run pathwise average cost. To study this pathwise problem, we give...