A commonly observed two-stage pricing strategy for a custom-made product involves a prepurchase entry fee for a potential consumer and a purchase price if he decides to buy the product. We solve and compare two settings: In the first, the firm does not commit in advance to the second-stage price...

Sethi and Thompson (1970) illustrated the applications of the maximum principle to solve simple dynamic cash balance problems. There we introduced the idea of penalty function to solve the cash balance problem with bounded state variables arising out of disallowing overdrafts and short selling....

This is an erratum on my paper quot;A Note on Modeling Simple Dynamic Cash Balance Problemsquot; published in The Journal of Financial and Quantitative Analysis, Vol. 8, No. 4 (Sep., 1973), pp. 685-687

We solve an agent's optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain...

A comparison of and the relationship between the Ito and Stratonovich formulations of stochastic integration is given. It is argued that generally the Ito formulation is appropriate for problems of finance and economics. The Black-Scholes option pricing problem is discussed in both frameworks...

We study the problem of optimal staged purchases of electricity in time-sequential deregulated electricity markets. In recent years, the electricity industry has been deregulated and multiple time-sequential auction markets, such as the block forward, the day-ahead and the hour-of, and the...

This paper analyzes dynamic advertising and pricing policies in a durable-good duopoly. The proposed infinite-horizon model, while general enough to capture dynamic price and advertising interactions in a competitive setting, also permits closed-form solutions. We use differential game theory to...

The last ten years have seen a growing number of optimal control theory applications to the field of advertising. This paper presents an up-to-date survey of dynamic optimal control models in advertising that have appeared in the literature.The basic problem underlying these models is an optimal...

Firms frequently utilize multiple communications instruments as part of their marketing campaign. Interactions between these instruments suggest that firms should apply Integrated Marketing Communications (IMC) to benefit from the synergies. We review different IMC models and then present a...

Over the last two decades, differential game (DG) models have been used extensively to study such issues in dynamic environments as competitive advertising and pricing for new products in the marketing literature, capacity investments in the energy industry, government's subsidy policy in new...