This paper presents a review of recent developments that have taken place in the area of
dynamic optimal control models in advertising subsequent to the comprehensive survey of …

I survey and assess the development of continuous‐time methods in finance during the last
30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal …

This book is an introduction to optimal stochastic control for continuous time Markov
processes and the theory of viscosity solutions. It covers dynamic programming for …

This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

We consider a consumption-portfolio problem in continuous time under uncertainty. A
martingale technique is employed to characterize optimal consumption-portfolio policies …

In 1952, Harry Markowitz published" Portfolio Selection," a paper which revolutionized
modern investment theory and practice. The paper proposed that, in selecting investments …

In this paper, optimal consumption and investment decisions are studied for an investor who
has available a bank account paying a fixed rate of interest and a stock whose price is a log …

Many management science applications involve the control of dynamic systems, ie, systems
that evolve over time. They are called continuous-time systems or discrete-time systems …

A general consumption/investment problem is considered for an agent whose actions
cannot affect the market prices, and who strives to maximize total expected discounted utility …