In this note we present both necessary and sufficient conditions for the existence of a linear static state feedback controller if the system is described by an index one descriptor system. A priori no definiteness restrictions are made w.r.t. the quadratic performance criterium. It is shown...

The price of a general insurance policy for each insurer in a competitive non-cooperative market is determined by finding the Nash equilibrium of an N-player differential game. In this game, a demand law describes the relationship between policy sales and premium, and each insurer aims to...

This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers. The strategic interaction is modelled as managers' having relative performance concerns in their objectives, either due to money flows or behavioral considerations. We provide tractable...

The main result of this paper is that, in continuous time games with imperfect monitoring it is better to average information over time rather than respond at every instant. The two main reasons why it is better to introduce delayed response to signals are that it helps to (1) loosen...

This paper treats the risk-averse optimal portfolio problem with consumption in continuous time with a stochastic-volatility, jump-diffusion (SVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SVJD model with double-uniform jump-amplitude...

This paper concerns dynamic pricing of multiple perishable products when there is model uncertainty, which we formulate as a worst-case stochastic intensity control problem where ambiguity is modeled using the notion of relative entropy. One feature of our formulation is that the demand models...

This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers. The strategic interaction is modelled as managers' having relative performance concerns in their objectives, either due to money flows or behavioral considerations. We provide tractable...

We present a continuous-time contracting model under moral hazard with many agents. The principal contracts many agents as a team, and they jointly produce correlated outcomes. We show the optimal contract for each agent is linear in outcomes of all other agents as well as his/her own. The...

In spite of the importance of optimal contracting problems under moral hazard and adverse selection, current literature offers no optimal solutions to contracting problems under moral hazard and adverse selection with risk averse agents. The agent's risk aversion, however, appears to be critical...

An applied compact introductory survey of Markov stochastic processes and control in continuous time is presented. The presentation is in tutorial stages, beginning with deterministic dynamical systems for contrast and continuing on to perturbing the deterministic model with diffusions using...