We consider the fluid model of a controlled birth-and-death process with an absorbing state. Instead of analyzing the trajectories, we investigate the performance functionals of the underlying process by considering algebraic equations of the dynamic programming type. We provide the accuracy of...

We consider the fluid model of a controlled birth-and-death process with an absorbing state. Instead of analyzing the trajectories, we investigate the performance functionals of the underlying process by considering algebraic equations of the dynamic programming type. We provide the accuracy of...

The control problem of controlling ruin probabilities by investments in a financial market is studied. The insurance business is described by the usual Cramer-Lundberg-type model and the risk driver of the financial market is a compound Poisson process. Conditions for investments to be...

We summarize some basic result in dynamic optimization and optimal control theory, focusing on some economic applications.

Optimal control of dynamic econometric models has a wide variety of applications including economic policy relevant issues. There are several algorithms extending the basic case of a linear-quadratic optimization and taking nonlinearity and stochastics into account, but being still limited in a...

In [21], Sethi et al. introduced a particular new-product adoption model. They determine optimal advertising and pricing policies of an associated deterministic infinite horizon discounted control problem. Their analysis is based on the fact that the corresponding Hamilton–Jacobi–Bellman...

The control problem of controlling ruin probabilities by investments in a financial market is studied. The insurance business is described by the usual Cramer-Lundberg-type model and the risk driver of the financial market is a compound Poisson process. Conditions for investments to be...