This paper analyses a RBC model in continuous time featuring deterministic incremental development of technology and stochastic fundamental inventions arriving according to a Poisson process. Other than in standard RBC models, shocks are uncorrelated, irregular and rather seldom. In two special...

The present paper is concerned with the optimal control of stochastic differential equations, where uncertainty stems from one or more independent Poisson processes. Optimal behavior in such a setup (e.g., optimal consumption) is usually determined by employing the Hamilton-Jacobi-Bellman...

Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables formula and the Hamilton-Jacobi-Bellman...

In the presented paper we introduce an approach to assess particular economic effects which may arise with bringing mobile technologies into the field of sales and distribution. The research problem posed here comprises quite a special case where sales operations of a company are carried by its...

Threshold Accepting (TA) is a powerful optimization heuristic from the class of stochastic local search algorithms. It has been applied successfully to different optimization problems in statistics and econometrics, including the uniform design problem. Using the latter application as example,...

We propose a method to test a prediction of the distribution of a stochastic process. In a non-Bayesian non-parametric setting, a predicted distribution is tested using a realization of the stochastic process. A test associates a set of realizations for each predicted distribution, on which the...

To solve boundary value problems for linear systems of stochastic differential equations we propose and justify a numerical method based on the Gibbs sampler. In contrast to the technique which yields for linear systems an "exact" numerical solution, the proposed method is simpler to generalize...