We present a sufficient condition for a feedback Stackelberg equilibrium of a stochastic differential game on an infinite horizon. This condition gives rise to a system of elliptic partial differential equations involving a static Stackelberg game at the level of Lagrangian. As an example, we...

We study infinite-horizon stochastic inventory problems with general demand distributions and piecewise linear concave ordering costs. Such costs arise in the important cases of quantity discounts or multiple suppliers. We consider the case of concave cost involving two linear segments. This...

This paper is concerned with hierarchical control of stochastic manufacturing systems with machines whose capacity states are governed by a Markov process dependent on the rates of production. The objective is to choose production rates that minimize the total inventory/shortage and production...

In this paper, we develop a rigorous new framework for the concepts of forecast and decision horizons. These concepts are conditional in nature and, in turn, enable us to unify the existing concepts of “strong” and “weak” horizons. Moreover, we are able to precisely state the question of...

This paper describes a method for solving a class of forward-looking Markov-switching Rational Expectations models under noisy measurement, by specifying the unobservable expectations component as a general-measurable function of the observable states of the system, to be determined optimally...

These notes provide an intuitive introduction to dynamic programming. The first two Sections, which can be skipped, present the standard deterministic Ramsey model using the Lagrangian approach. Section 3 reformulates the Ramsey problem by means of a Bellman equation, while Section 4 shows how...

The rapid growth in the performance of graphics hardware, coupled with recent improvements in its programmability has lead to its adoption in many non-graphics applications, including a wide variety of scientific computing fields. At the same time, a number of important dynamic optimal policy...

Monitoring is an important and costly activity in resource management problems such as containing invasive species, protecting endangered species, preventing soil erosion, and regulating contracts for environmental services. Recent studies have viewed optimal monitoring as a Partially Observable...

A recursive method for solving an integrated assessment model of climate and the economy is developed in this paper. The method approximates value function with a logarithmic basis function and searches for solutions on a set satisfying optimality conditions. These features make the method...

This paper describes a structural dynamic microsimulation model that generates individual-specific data over a range of demographic and economic characteristics at annual intervals over the life-course. The model is specifically designed to analyse the distributional implications of policy...