Optimal Control and Dynamic Games (eBook)

Applications in Finance, Management Science and Economics

Christophe Deissenberg, Richard F. Hartl (Herausgeber)

eBook Download: PDF

2005
XXIV, 344 Seiten
Springer US (Verlag)
978-0-387-25805-8 (ISBN)

Infos

Optimal Control and Dynamic Games has been edited to honor the outstanding contributions of Professor Suresh Sethi in the fields of Applied Optimal Control. Professor Sethi is internationally one of the foremost experts in this field. He is, among others, co-author of the popular textbook 'Sethi and Thompson: Optimal Control Theory: Applications to Management Science and Economics'.

The book consists of a collection of essays by some of the best known scientists in the field, covering diverse aspects of applications of optimal control and dynamic games to problems in Finance, Management Science, Economics, and Operations Research. In doing so, it provides both a state-of-the-art overview over recent developments in the field, and a reference work covering the wide variety of contemporary questions that can be addressed with optimal control tools, and demonstrates the fruitfulness of the methodology.

Prof. Christophe Deissenberg
GREQAM, UMR CNRS 6579
Université de la Méditerranée
Château La Farge
Route des Milles
13290 Les Milles
France

Specialisted in economic dynamics, computational economics, decision-making, economic complexity, environmental economics

Prof. Richard Hartl
Chair of Production and Operations Management
BWZ, Institute of Management
University of Vienna
Bruennerstraße 72
A-1210 Vienna
Austria

Specialized in quantitative methods in production and operations management, dynamics of the firm, optimal control, operations research (OR) methods and applications

 

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Optimal Control and Dynamic Games has been edited to honor the outstanding contributions of Professor Suresh Sethi in the fields of Applied Optimal Control. Professor Sethi is internationally one of the foremost experts in this field. He is, among others, co-author of the popular textbook "e;Sethi and Thompson: Optimal Control Theory: Applications to Management Science and Economics"e;. The book consists of a collection of essays by some of the best known scientists in the field, covering diverse aspects of applications of optimal control and dynamic games to problems in Finance, Management Science, Economics, and Operations Research. In doing so, it provides both a state-of-the-art overview over recent developments in the field, and a reference work covering the wide variety of contemporary questions that can be addressed with optimal control tools, and demonstrates the fruitfulness of the methodology.

Inhalt

Contents 7
Foreword 11
List of Contributors 15
Introduction 19
Part I APPLICATIONS TO MARKETING 26
Chapter 1 ADVERTISING DIRECTED TOWARDS EXISTING AND NEW CUSTOMERS 27
Chapter 2 ADVERTISING AND ADVERTISING CLAIMS OVER TIME 43
Part II ENVIRONMENTAL APPLICATIONS 63
Chapter 3 CAPITAL RESOURCE SUBSTITUTION, OVERSHOOTING, AND SUSTAINABLE DEVELOPMENT 65
Chapter 4 HIERARCHICAL AND ASYMPTOTIC OPTIMAL CONTROL MODELS FOR ECONOMIC SUSTAINABLE DEVELOPMENT 85
Chapter 5 COMMON PROPERTY RESOURCE AND PRIVATE CAPITAL ACCUMULATION WITH RANDOM JUMP 101
Chapter 6 TRANSFER MECHANISMS INDUCING A SUSTAINABLE FOREST EXPLOITATION 109
Chapter 7 CHARACTERIZING DYNAMIC IRRIGATION POLICIES VIA GREEN’S THEOREM 129
Part III APPLICATIONS IN ECONOMICS AND FINANCE 143
Chapter 8 VOLATILITY FORECASTS AND THE PROFITABILITY OF AUTOMATED TRADING STRATEGIES 145
Chapter 9 TWO-PART TARIFF PRICING IN A DYNAMIC ENVIRONMENT 165
Chapter 10 NUMERICAL SOLUTIONS TO LUMP-SUM PENSION FUND PROBLEMS THAT CAN YIELD LEFT- SKEWED FUND RETURN DISTRIBUTIONS 179
Chapter 11 DIFFERENTIATED CAPITAL AND THE DISTRIBUTION OF WEALTH 201
Chapter 12 OPTIMALFIRM CONTRIBUTIONSTO OPEN SOURCE SOFTWARE 221
Part IV PRODUCTION, MAINTENANCE AND TRANSPORTATION 238
Chapter 13 THE IMPACT OF DYNAMIC DEMAND AND DYNAMIC NET REVENUES ON FIRM CLOCKSPEED 239
Chapter 14 HIBERNATION DURATIONS FOR CHAIN OF MACHINES WITH MAINTENANCE UNDER UNCERTAINTY 255
Chapter 15 SELF-ORGANIZED CONTROL OF IRREGULAR OR PERTURBED NETWORK TRAFFIC 263
Chapter 16 A STOCHASTIC OPTIMAL CONTROL POLICY FOR A MANUFACTURING SYSTEM ON A FINITE TIME HORIZON 299
Chapter 17 ON A STATE-CONSTRAINED CONTROL PROBLEM IN OPTIMAL PRODUCTION AND MAINTENANCE 313
Part V METHODOLOGICAL ADVANCES 334
Chapter 18 RELIABILITY INDEX 335
Chapter 19 THE DIRECT METHOD FOR A CLASS OF INFINITE HORIZON DYNAMIC GAMES 343
Suresh P. Sethi 359
Author Index 366

Produkt-Details

• Erscheint lt. Verlag: 3.11.2005
• Reihe/Serie: Advances in Computational Management Science
• Reihe/Serie: Advances in Computational Management Science
• Zusatzinfo: XXIV, 344 p.
• Verlagsort: New York
• Sprache: englisch
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Planung / Organisation
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre
• Schlagworte: Applications • Control • Development • dynamic • Economics • Finance • Management • Operations Research • Paraplusig • Strategy
• ISBN-10: 0-387-25805-1 / 0387258051
• ISBN-13: 978-0-387-25805-8 / 9780387258058