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, ...

We study returns to scale in Norwegian electricity distribution companies. The scale issue of this sector has become an important political question, and it was for instance discussed by the Reiten commission (OED, 2014) ...