Purpose – Exit strategies are critical for external private equity holders, such as venture capitalists and business angels, to receive investment returns successfully. The paper models the exit decision as a fixed date with the option to exit early, and develop an approach to help private...

In this paper, we present a new version of the OPTCON algorithm for the optimal control of nonlinear stochastic systems with special reference to econometric models. It delivers approximate numerical solutions of optimum control problems with a quadratic objective function for nonlinear...

We solve an optimal growth model in continuous space, continuous and bounded time. The optimizer chooses the optimal trajectories of capital and consumption across space and time by maximizing an objective function with both space and time discounting. We extract the corresponding Pontryagin...

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted...

Purpose – The purpose of the paper is to present an integrated approach concerning intertemporal choices and the location of economic activity under a simple endogenous growth model. The idea is that time analysis concerning the choices about present and future consumption and the choices on...

The choice of monetary policy is the most important concern of central banks. However, this choice is always confronted, inter alia, with two relevant aspects of economic policy: parameter instability and model uncertainty. This paper deals with both types of uncertainty using a very specific...

We use two stage optimal control techniques to solve some adoption problems under embodied technical change. We first solve a benchmark problem without learning behavior. At the date of switching, the consumption level is shown to drop, as the relative price of capital goes down (obsolescence)....

A comprehensive study of the linkages between demographic and economic variables should not only account for vintage specificity but also incorporate the relevant economic and demographic decisions in a complete optimal control set-up. In this paper, a methodological set-up allowing to reach the...