Sufficient stochastic maximum principle in a regime-switching diffusion model

We prove a sufficient stochastic maximum principle for the optimal control of a regime-switching diffusion model. We show the connection to dynamic programming and we apply the result to a quadratic loss minimization problem, which can be used to solve a mean-variance portfolio selection problem

A remark on R.S. Pindyck: "Irreversibilities and the timing of environmental policy"

This note adresses R.S. Pindyck: "Irreversibilities and the timing of environmental policy", Resource and Energy Economics, 22 (2000) 233-259: For the case of quadratic environmental cost, it is shown that the value function is not as claimed, nor of the suggested form. The solution in the case of linear environmental cost is affirmed with a complete proof. An additional expression is corrected.Environmental policy Uncertainty Irreversibilities Optimization

Noise with memory as a model of lemming cycles

87.23.Cc Population dynamics and ecological pattern formation, 02.50.Ey Stochastic processes, 05.40.Ca Noise,