We solve an agent's optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain...

We consider optimal consumption and portfolio investment problems of an investor who is interested in maximizing his utilities from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes the...

Investment is a central theme in economics, finance, and operational research. Traditionally, the focus of analysis has been either on assessing the value of flexibility (investment under uncertainty) or on describing commitment effects in competitive settings (industrial organization). Research...