This paper deals with the problem of the financial valuation of a firm and its shares of stock with given financing policies in a general stochastic environment. A model of the firm is described which includes the price-dividend balance integral equation whose solution yields the time path of...

This paper deals with the problem of the financial valuation of a firm and its shares of stock with general financing policies in a partial equilibrium framework. The model assumes a time-dependent discount rate and a general stochastic environment in a discrete-time setting. the fundamental...

This paper considers an infinite horizon stochastic production planning problem with the constraint that production rate must be nonnegative. It is shown that an optimal feedback solution exists for the problem. Moreover, this solution is characterized and is then compared with the solution of...

This paper reports some new closed-form formulas of financial valuation for a deterministic firm with general financing policies and a time-dependent discount rate. A model of the firm is described which includes the price-dividend-balance integral equation whose solution yields the time path of...

First-order necessary and sufficient conditions are obtained for the following quasilinear distributed-parameter optimal control problem:max{J(u)=IntF(x,u,t)dw IntG(x,t)dsigma},subject to the partial differential equationA(t)x =f(x, u, t),where t, u, G are vectors and x, F are scalars. Use is...

An exploration and consumption model for exhaustible natural resources is used to formulate a deterministic optimal control problem over an infinite time horizon. A dynamic programming approach is employed throughout. The non-linear partial differential equation which results from an application...

A general sates-advertising model is developed in which the state of the system represents a population distribution over a parameter space. With appropriate interpretations, this can include income, family size, geographic distributions, etc. Effects of information diffusion, interaction, and...

This paper describes a maximum principle for distributed parameter systems, i.e. systems characterized by partial differential equations. The maximum principle is applied to solve the problem of a cattle rancher who must decide the number of cattle in different age groups to be bought and sold...