Management science applications frequently involve problems of controlling continuous time dynamic systems, that is, systems which evolve over time. Optimal control theory, a relatively new branch of mathematics, determines the optimal way to control such a dynamic system. The purpose of this...

First-order necessary and sufficient conditions are obtained for the following quasilinear distributed-parameter optimal control problem:max{J(u)=IntF(x,u,t)dw IntG(x,t)dsigma},subject to the partial differential equationA(t)x =f(x, u, t),where t, u, G are vectors and x, F are scalars. Use is...

This paper introduces continuous and discrete modern control theory, especially the free-end point versions of the maximum principle, to the field of finance. We shall not, however, go into the proofs and other mathematical details because they are available in the cited literature. Instead, we...

A quadratic model for production-inventory planning was made famous by Holt, Modigliani, Muth, and Simon in 1960 in [3], especially for its application to a paint factory. A discrete control version of a related quadratic production-inventory model was studied by Kleindorfer, Kriebel, Thompson,...

Production scheduling problem of style good manufacturer involves seasonal stochastic demands for their goods and limited production capacities. As a result, some production must take place before the selling season starts. The problem can be cast as a stochastic optimal control problem over...

A number of real world processes can be modelled as exponential decay processes. Examples are: machine replacement, oil well extraction, advertising goodwill, repair and cleaning activities, etc.. In this paper we analyze a series of discounted or undiscounted, deterministic or stochastic...