We study an economy in which the rate of change of population depends on population policy decisions. This requires population as well as capital as state variables. By showing the algebraic relationship between the shadow price of the population and the shadow price of the per capita capital...

In this paper, we revisit and clarify the celebrated machine maintenance and sale age model of Kamien and Schwartz (KS) involving a machine subject to failure. KS formulate and solve the problem as a deterministic optimal control problem with the probability of the machine failure as the state...

We deal with the problem of a profit-maximizing vendor selling a perishable product. At the beginning of a planning cycle, the vendor determines a minimum committed order per period. During the cycle, he may also place a supplemental order in each period based on the observed demand signal in...

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...

In this paper, we study a class of time-inconsistent analogs (in the sense of Hu et al. (Time-inconsistent stochastic linear–quadratic control. Preprint, <CitationRef CitationID="CR13">2012</CitationRef>) which is originated from the mean-variance portfolio selection problem with state-dependent risk aversion in the context of financial...</citationref>

We propose a general framework to assess the value of the financial claims issued by the firm, European equity options and warrantsin terms of the stock price. In our framework, the firm's asset is assumed to follow a standard stationary lognormal process with constant volatility. However, it is...

This paper studies the problem of pricing contingent claims in a market which has frictions in the form of costs, such as penalty functions corresponding to constraints. An arbitrage-free interval is identified, and a fair price based upon utility functions is proposed. It provides a framework...

The aim of the article is to identify the intraday seasonality in a wind speed time series. Following the traditional approach, the marginal probability law is Weibull and, consequently, we consider seasonal Weibull law. A new estimation and decision procedure to estimate the seasonal Weibull...