This is my PhD dissertation defended in 1966 at the University of Minnesota and it was never published. It has been cited and used in other researchers work so I now make it available. The problem of optimal resource allocation over time is formulated as an optimal control problem. This is where...

In this paper we describe three different algorithms, from which two (as far as we know) are new in the literature. We take both the size of the jump as the jump times as decision variables. The first (new) algorithm considers an Impulse Control problem as a (multipoint) Boundary Value Problem...

This paper considers a class of optimal control problems that allows jumps in the state variable. We present the necessary optimality conditions of the Impulse Control Maximum Principle based on the current value formulation. By reviewing the existing impulse control models in the literature, we...

We report an example of a two-dimensional undiscounted convex optimal growth model in continuous time in which, although there is a unique “golden rule”, no overtaking optimal solutions exists in a full neighbourhood of the steady state. The example confirms a conjecture advanced in 1976...

This paper studies optimal task assignments in a setting where agents are expectation-based loss averse according to KoszegiRabin (2006) and KoszegiRabin (2007) and are compensated according to an aggregated performance measure in which tasks are technologically independent. We show that the...

Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous time model. We consider the version of recursive utility which gives the most unambiguous separation of risk...

How do people make choices in a dynamic stochastic environment when they face uncertainty about the return of their choices? The classical approach to this problem is to assume consumers use dynamic programming to obtain the optimal decision rule. However, this approach has two drawbacks. First,...

Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to analyze the model. This method uses forward/backward...

Markets for natural resources and commodities are often oligopolistic. In these markets, production capacities are key for strategic interaction between the oligopolists. We analyze how different market structures influence oligopolistic capacity investments and thereby affect supply, prices and...

To mitigate the high variability of wind and make it a more viable renewable energy source, observers recommend greater integration of spatially-separated electrical grids, with high transmission lines linking load centers, scattered wind farms and hydro storage sites. In this study, we examine...