We present the regression-based Monte Carlo simulation algorithms for solving the stochastic control models associated with pricing and hedging of the Guaranteed Lifelong Withdrawal Benefit (GLWB) in variable annuities, where the dynamics of the underlying fund value is assumed to evolve...

We consider the stochastic control model with finite time horizon for a mixed duopoly R&D (Research and Development) race between the profit-maximizing private firm and welfare maximizing public firm. In our two-firm stochastic control R&D race model, the stochastic control variable is taken to...

We consider the optimal strategy of R&D expenditure adopted by a firm that engages in R&D to develop an innovative product to be launched in the market. The firm faces with technological uncertainty associated with the success of the R&D effort and market uncertainty of the stochastic revenue...