We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we solve the stochastic control problem of maximizing discounted dividends until simultaneous ruin of both branches of...

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 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...

In this paper we study a basic model of economic growth where we integrate a zero-dimensional energy balance model of the Earth. The albedo of the Earth is the piecewise smooth function of the average surface temperature, thus, taking into account possible feedback effects of a higher...

Land subsidence threatens the living conditions of roughly 1.2 billion people worldwide in deltaic regions characterized by soft top soil. Economic activity in deltaic regions requires lowering the groundwater levels to keep the land sufficiently dry to maintain productivity, which, however,...

In this paper we prove a deterministic approximation theorem for a sequence of Markov decision processeswith finitely many actions and general state spaces as they appear frequently in economics, game theory and operations research. Using viscosity solution methods no a-priori differentiabililty...

In this paper we analyze an inter-temporal optimization problem of a representative firm that invests in horizontal and vertical innovations and that faces a constraint with respect to total R&D spending. We find that there can exist two different steady-states of the economy when the amount of...