We consider a financing game with costly enforcement based on Townsend (1979), but where monitoring is non-contractible and allowed to be stochastic. Debt is the optimal contract. Moreover, the debt contract induces creditor ...

We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process X(t) and a predictive ...

In the first part of the paper we obtain existence and characterizations of an optimal control for a linear quadratic control problem of linear stochastic Volterra equations. In the second part, using the Malliavin calculus ...

The effects of random environmental impacts on optimal exploitation of a fish population are investigated using both optimization and simulation, based on a discrete-time age-structured bioeconomic model. The optimization ...

We formulate the maintenance scheduling decision as a dynamic optimization problem, subject to an accelerating decay. This approach offers a formal, yet intuitive, weighting of the trade-offs involved when deciding a ...

We prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal dividend policy with capitaldependent utilities. The result is applied to ...

In this paper we study the optimal portfolio selection problem for a constant relative risk averse investor who faces fixed and proportional transaction costs and maximizes expected utility of end-of-period wealth. We use ...

This paper extends the Mirrlees (1971) model of optimal non-linear income taxation with a monitoring technology that allows the government to verify labor effort at a positive, but non-infinite cost. We analyze the joint ...

We consider risk sharing among individuals in a one-period setting under uncertainty, that will result in payoffs to be shared among the members. We start with optimal risk sharing in an Arrow-Debreu economy, or equivalently, ...