Abstract:This paper deals with a class of optimal control problems which arises in advertising models with Volterra Ornstein-Uhlenbeck process representing the product goodwill. Such choice of the model can be regarded as a stochastic modification of the classical Nerlove-Arrow model that allows to incorporate both presence of uncertainty and empirically observed memory effects such as carryover or distributed forgetting. We present an approach to solve such optimal control problems based on an infinite dimensional lif… Show more
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