This paper presents an asymptotic analysis of hierarchical marketing-production systems with stochastic demand and stochastic production capacity modelled as finite state Markov processes. The decision variables used are advertising and production rates which influence capacity, demand, and...

This paper considers a variation of the Vidale-Wolfe advertising model for which the maximum value of the objective function and the form of the optimal feedback advertising control are identical in both a deterministic and a stochastic environment. The stochastic environment is due to a white...

Most manufacturing systems are large and complex and operate in an uncertain environment. One approach to managing such systems is that of hierarchical decomposition. This paper reviews the research devoted to proving that a hierarchy based on the frequencies of occurrence of different types of...

Marketing research relies on individual-level estimates to understand the rich heterogeneity that exists in consumers, firms, and products. While much of the literature focuses on capturing static cross-sectional heterogeneity, little research has been done on modeling dynamic heterogeneity, or...

We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below by an affine function of the control variable and satisfy a specific normalization property.

In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We...

A maximum principle is proved for certain problems of continuous time stochastic control with hard end constraints, (end constraints satis_ed a.s.) After establishing a general theorem, the results are applied to problems where the state equation (di_erential equation) changes at certain...

We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion...

In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

The focus is upon equilibrium real exchange rates, optimal external debt and their interaction, in a world where both the return on investment and the real rate of interest are stochastic variables. These theoretically based measures are applied empirically to answer the following questions:...