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 …

We solve, in closed form, a stock-bond-cash portfolio problem of a risk-and ambiguity-averse
investor when interest rates and the inflation rate are stochastic. The expected inflation rate …

This paper investigates an optimal multi-period investment management problem for a
defined contribution pension fund under the mean–variance criterion with imperfect …

We study a class of optimal portfolio problems with relative performance and constant
relative risk aversion (CRRA) risk preferences in a partially observable financial market. The …

We analyze the Merton portfolio optimization problem when the growth rate is an
unobserved Gaussian process whose level is estimated by filtering from observations of the …

A backward doubly stochastic differential equation (BDSDE) based nonlinear filtering
method is considered. The solution of the BDSDE is the unnormalized density function of the …

Optimal control theory is a branch of mathematics developed to find optimal ways to control
a dynamic system. Thus the theory applies to many management science and economics …

In this paper, a financial market with Markovian switching and inflation is described, and the
problem of maximizing expected utility of consumption discounted by inflation is given. Then …

We consider a finite-time optimal portfolio and consumption problem with a benchmark in a
continuous time setting. In our model, investors cannot observe the mean return process of …

We develop a novel numerical method for solving the nonlinear filtering problem of jump
diffusion processes. The methodology is based on numerical approximation of backward …