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We model an impulse control problem when the controller's action affects the state as well as the dynamics of the state process for a random amount of time. We apply our model to solve a central bank intervention problem in the foreign exchange market when the market observes and reacts to the...
Persistent link: https://www.econbiz.de/10013066212
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...
Persistent link: https://www.econbiz.de/10013071070
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...
Persistent link: https://www.econbiz.de/10012833274
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
Persistent link: https://www.econbiz.de/10012906227
Sufficient conditions in the form of a maximum principle are obtained for the optimal control of a system described by integro-differential equations and subject to some specified path constraints. The conditions are relaxed to allow for jumps in the adjoint variables at the junction points,...
Persistent link: https://www.econbiz.de/10012906228