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

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...

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...

This paper studies stochastic linear-quadratic control problems for an ambiguity-adverse agent with a time-inconsistent objective. We allow the agent to incorporate disturbances into the state's drift or choose an alternative model among a set of models equivalent to the reference model, to...