An optimal stochastic production planning problem with randomly fluctuating dem and
SIAM Journal on Control and Optimization
An optimal control problem with a random stopping time
Journal of Optimization Theory and Applications
Numerical methods for stochastic control problems in continuous time
Numerical methods for stochastic control problems in continuous time
Hedging global environment risks: An option based portfolio insurance
Automatica (Journal of IFAC)
On the dynamics of competing energy sources
Automatica (Journal of IFAC)
Optimal Advertising When Envisioning a Product-Harm Crisis
Marketing Science
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This paper proposes a capital accumulation model with a random stopping time corresponding to the occurrence of an environmental catastrophe. Depending on the preventive capital stock accumulated at the time of the catastrophe, the damage cost associated with the catastrophe varies. The long-term behavior of the optimal accumulation path is analyzed using turnpike theory. The case where the catastrophe process is uncontrolled is distinguished from the case where there is an anthropogenic effect on the probability of an occurrence. Intergenerational equity issues are discussed. Numerical experiments with an adaptation of the integrated assessment model DICE94 are proposed to explore the model responses.