In new new international trade theory, whether firms export or not are determined by their productivity. These models assume that firms enter a market to find their productivity levels revealed to them as in a lottery. In this paper we propose an alternative way to model whether firms export or...

The rapid growth in demand and supply of sophisticated data mining and analytical decision tools calls for research to understand the value of learning, as well as how learning interacts with firms’ day-to-day marketing strategies.In this paper, we consider a market in which the firm can...

We develop an econometric model for firm exit, using stochastic dynamic programming (SDP) as a starting point. According to SDP, the value of an operating firm can be written as the sum of (i) the net present value of continuing production if the firm is committed to a future exit date, and (ii)...

Most previous research on post-harvest grain storage by farmers has assumed risk-neutral behavior and/or made restrictive assumptions about underlying price probability distributions. In this study, we solve the optimal on-farm storage problem for a risk-averse farmer under more general...

In this paper we discuss the costate variable in a stochastic optimal control model of a renewable natural resource, which we call a fishery. The role of the costate variable in deterministic control models has been discussed extensively in the literature. See, for example, Lyon (1999), Clark...

A portfolio selection model is derived for diffusions where inequality constraints are imposed on portfolio security weights. Using the method of stochastic dynamic programming Hamilton-Jacobi-Bellman (HJB) equations are obtained for the problem of maximizing the expected utility of terminal...

We develop an econometric model for firm exit, using stochastic dynamic programming (SDP) as a starting point. According to SDP, the value of an operating firm can be written as the sum of (i) the net present value of continuing production if the firm is committed to a future exit date, and (ii)...

In NSW the Water Management Act (2000) requires water to be specifically allocated for environmental purposes so as to improve river health. Water sharing plans have been developed that establish extractive and environmental shares to river flows. In unregulated river systems this has resulted...

We construct an endogenous (Bayesian) learning model with fat-tailed uncertainty on the equilibrium climate sensitivity and solve the model with stochastic dynamic programming. In our model a decision maker updates her belief on the climate sensitivity through temperature observations each time...

This paper examines the algorithms proposed in the literature for finding good critical level policies in the (S-1,S) lost sales inventory model with multiple demand classes. Our main result is that we establish guaranteed optimality for two of these algorithms. This result is extended to...