We present a set of necessary and sufficient conditions for a class of optimal control problems with pure state constraints for which the objective function is linear in the state variable but the objective function is only required to be upper semi-continuous in the control variable. We apply...

We present a set of necessary and sufficient conditions for a class of optimal control problems with pure state constraints for which the objective function is linear in the state variable but the objective function is only required to be upper semicontinuous in the control variable. We apply...

In this manuscript we consider the conjugate notion focused from consumer theory as an interesting tool. According to us, conjugate notion remained undeveloped in economic theory because Fenchel's conjugate notion was introduced exclusively for proper convex lower semi continuous functions and...

In this manuscript we consider the conjugate notion focused from consumer theory as an interesting tool. According to us, conjugate notion remained undeveloped in economic theory because Fenchel's conjugate notion was introduced exclusively for proper convex lower semi continuous functions and...

Based on results given in the recent book by Meinhardt (2013), which presents a dual characterization of the pre-kernel by a finite union of solution sets of a family of quadratic and convex objective functions, we could derive some results related to the uniqueness of the pre-kernel. Rather...

In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We...