Comparisons of various methods for solving stochastic control economic models can be done with Monte Carlo methods. These methods have been applied to simple one-state, one-control quadraticlinear tracking models; however, large outliers may occur in a substantial number of the Monte Carlo runs...

In this paper we derive, by using dynamic programming, the closed loop form of the Expected Optimal Feedback rule with time varying parameter. As such this paper extends the work of Kendrick (1981, 2002, Chapter 6) for the time varying parameter case. Furthermore, we show that the Beck and...

This paper con?rms that, as originally reported in Seneta (2004, p. 183), it is impossible to replicate Madan et al.?s (1998) results using log daily returns on S&P 500 Index from January 1992 to September 1994. This failure leads to a close investigation of the computational problems associated...

As pointed out in Amin e Mabe (2000, p. 1), the journal impact factor (IF) “has moved in recent years from an obscure bibliometric indicator to become the chief quantitative measure of the quality of a journal, its research papers, the researchers who wrote those papers, and even the...

By applying robust control the decision maker wants to make good decisions when his model is only a good approximation of the true one. Such decisions are said to be robust to model misspecification. In this paper it is shown that both a “probabilistically sophisticated” and a...

The Impact Factor (IF) “has moved ... from an obscure bibliometric indicator to become the chief quantitative measure of the quality of a journal, its research papers, the researchers who wrote those papers, and even the institution they work in” ([2], p. 1). However, the use of this index...