On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects

Mathematics – Optimization and Control

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

numerical example added; minor revisions

Scientific paper

We consider a class of dynamic advertising problems under uncertainty in the presence of carryover and distributed forgetting effects, generalizing a classical model of Nerlove and Arrow. In particular, we allow the dynamics of the product goodwill to depend on its past values, as well as previous advertising levels. Building on previous work of two of the authors, the optimal advertising model is formulated as an infinite dimensional stochastic control problem. We obtain (partial) regularity as well as approximation results for the corresponding value function. Under specific structural assumptions we study the effects of delays on the value function and optimal strategy. In the absence of carryover effects, since the value function and the optimal advertising policy can be characterized in terms of the solution of the associated HJB equation, we obtain sharper characterizations of the optimal policy.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-375345

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.