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Dynamic Games and Applications Seminar

Optimal control problems with a stochastic switching time: a marketing application


May 11, 2023   11:00 AM — 12:00 PM

Maddalena Muttoni University of Padova, Italy

Maddalena Muttoni

Presentation on YouTube.

We consider a dynamic optimization problem where a firm plans their advertising strategy under the uncertainty that their production costs may abruptly increase at any time during the programming interval. We present two approaches that yield a close form solution to this two-stage optimal control problem: a backward approach, where the two periods are solved in reverse order, and a heterogeneous one, where a dedicated version of the maximum principle covers both stages simultaneously. The analytical solution is provided in a simple case, and numerical results are presented for the general case. To evaluate the importance of information about the risk of switching, we compare these results with those of a different scenario, where the planner is unaware of the possible switching time.
(With Alessandra Buratto and Luca Grosset.)

Georges Zaccour organizer
Ke Jiang organizer
Fatemeh Zand organizer


Online meeting
Montréal Québec

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Research Axis

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