This note proves existence of a unique equilibrium in a Lucas (1978) economy when the utility function displays constant relative risk aversion and log dividends follow a normally distributed AR(1) process with positive auto-correlation. In particular, the note provides restrictions on the...

Monitoring is an important and costly activity in resource management problems such as containing invasive species, protecting endangered species, preventing soil erosion, and regulating contracts for environmental services. Recent studies have viewed optimal monitoring as a Partially Observable...

This paper describes a method for solving a class of forward-looking Markov-switching Rational Expectations models under noisy measurement, by specifying the unobservable expectations component as a general-measurable function of the observable states of the system, to be determined optimally...

Referring to the literature on optimal stopping under sequential sampling developed by Chernoff and collaborators, we solve a dynamic model of the economic evaluation of a new health technology, deriving optimal rules for technology adoption, research abandonment and continuation as functions of...

We develop a contingent claims model of a firm in financial distress with a formal account for renegotiations under the Chapter 11 bankruptcy procedure. Shareholders and two classes of creditors (senior and junior) alternatively propose a reorganization plan subject to a vote. The bankruptcy...

Discrete-time stochastic models of groundwater management have been extensively used for understanding a variety of issues in groundwater management for agriculture. Most models used suffer from two drawbacks: relatively simplistic treatment of extraction cost (remarked in many papers in the...

Structural uncertainty arises when key features of the behavior of a system are not well understood. Observational uncertainty arises when key variables in a system are not directly observed. Both types of uncertainty lead to problems for standard dynamic optimization approaches. The replacement...

This paper proposes a dynamic life cycle model of health risks, employment, early retirement, and wealth accumulation in order to analyze the health-related risks of consumption and old age poverty. In particular, the model includes a health process, the interaction between health and employment...

This paper proposes a dynamic programming model to explore the optimal stockpiling path for China's strategic petroleum reserve before 2020. The optimal oil acquisition sizes in 2008–2020 under different scenarios are estimated. The effects of oil price, risks and elasticity value on inventory...

In the last 10years, thanks to the worldwide energy liberalization process, the birth of competitive gas markets and the recent financial crisis, traditional long term swing contracts in Europe have been supplemented in a significant way by make-up clauses which allow postponing the withdrawal...