Stochastic control problems related to optimal advertising under uncertainty are considered. In particular, we determine the optimal strategies for the problem of maximizing the utility of goodwill at launch time and minimizing the disutility of a stream of advertising costs that extends until...

We determine sufficient conditions on the volatility coefficient of Musiela's stochastic partial differential equation driven by an infinite dimensional Leacute;vy process so that it admits a unique local mild solution in spaces of functions whose first derivative is square integrable with...

We compare two popular scenario tree generation methods in the context of financial optimization: Moment matching and scenario reduction. Using a simple problem with a known analytic solution, we find that moment matching, when accompanied by a check to ensure the absence of arbitrage...