We consider two control problems on a finite horizon; one stochastic and the other deterministic. In both problems the running cost and the terminal cost are the same. The controllable input in both problems is of an additive nature with cost proportional to the input (which can be both positive...

In this paper we derive useful sufficiency optimality conditions for a class of optimal control problems subject to differential inclusions and involving non-differentiable functions. A production inventory problem is solved to illustrate our results

Optimal product management problems with multiple product generations in continuous time lead to the consideration of dynamic optimal control problems that feature both intervention costs and partially controlled regime shifts. We therefore investigate and solve such stochastic impulse control...

My assignment for this lecture is to discuss applications of optimal control theory to Management Science problems. Since the field of Management Science encompasses production, finance, and marketing as its main functional areas which themselves are rather vast, it will not be possible to...

The speed with which an organization takes action against unplanned failure and scrapping of its capital equipment is used as a measure of organizational nimbleness. Operational decisions at the plant level are studied in the setting of the optimal control model of Kamien and Schwarz for...

We develop a general methodology for a partially observed stochastic control problem. The dynamics is governed by a discrete-time Markov process. We describe an application to an inventory system with possibility of shrinkage, and introduce unnormalized conditional probabilities to transform the...

This paper introduces recent developments in the analysis of inventory systems with partial observations. The states of these systems are typically conditional distributions, which evolve in infinite dimensional spaces over time. Our analysis involves introducing unnormalized probabilities to...

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...

We formulate an optimal control capital accumulation model with a Leontief-type production function and an exogenously given time-lag between investment and the accumulation of the capital stock, to analyze the qualitative and quantitative influence of time-lags on the system dynamics. As known...

Creditors, banks and bank regulators should evaluate whether a borrower is likely to default. I apply several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset...