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Optimal Control Problems with a Stochastic Switching Time - A Marketing Application

Offered By: GERAD Research Center via YouTube

Tags

Dynamic programming Courses Production Costs Courses Numerical Methods Courses Stochastic Processes Courses

Course Description

Overview

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Explore a dynamic optimization problem in this 50-minute seminar from the Dynamic Games and Applications series. Delve into a firm's advertising strategy planning under the uncertainty of abrupt production cost increases. Learn about two approaches yielding close-form solutions to this two-stage optimal control problem: a backward approach and a heterogeneous approach using a dedicated version of the maximum principle. Examine the analytical solution in a simple case and review numerical results for the general case. Compare these findings with a scenario where the planner is unaware of the possible switching time to evaluate the importance of risk information. Gain insights from this marketing application presented by Maddalena Muttoni from the University of Padova, Italy, in collaboration with Alessandra Buratto and Luca Grosset.

Syllabus

Optimal control problems with a stochastic switching time:a marketing application, Maddalena Muttoni


Taught by

GERAD Research Center

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