72 research outputs found
The Effects of Implementation Delay on Decision-Making Under Uncertainty
In this paper, we accomplish two objectives: First, we provide a new
mathematical characterization of the value function for impulse control
problems with implementation delay and present a direct solution method that
differs from its counterparts that use quasi-variational inequalities. Our
method is direct, in the sense that we do not have to guess the form of the
solution and we do not have to prove that the conjectured solution satisfies
conditions of a verification lemma. Second, by employing this direct solution
method, we solve two examples that involve decision delays: an exchange rate
intervention problem and a problem of labor force optimization
- …