The paper develops a version of Pontryagin's maximum principle for optimal control problems with monotonicity constraints on control variables. Whereas the literature handles such constraints by imposing an assumption of piecewise smoothness on the control variable and treating the slope of this...

We optimize the design of a frequency reward program against traditional pricing in a competitive duopoly, where customers measure their utilities in rational economic terms. We assume two kinds of customers: myopic and strategic (Yilmaz et al. (2016)). Every customer has a prior loyalty bias...

The second part of the thesis focuses on a different stochastic problem of finding the optimal hedging points in a manufacturing flow control system. Our simulation-based method allows solving large scale systems that are considered very difficult to solve by current standards in the literature.