We investigate a class of optimal control problems that exhibit constant exogenously given delays in the control in the equation of motion of the differential states. Therefore, we formulate an exemplary optimal control problem with one stock and one control variable and review some analytic...

In this paper I study the optimal control path for a (capital or pollution) stock which accumulates time with a lag to its control. It is shown that the optimal control path is non-monotonic and cyclical in general, but it is monotonic if the objective function is additively separable in the...

We introduce a numerical method to solve stochastic optimal control problems, which are linear in the control. We facilitate the idea of solving two-point boundary value problems with spline functions in order to solve the resulting dynamic programming equation. We then show how to effectively...