Boundary value problems in stochastic optimal control of advertising

Kalyan Raman*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

21 Scopus citations

Abstract

Temporal patterns for advertising include constant spending over time, decreasing spending over time and increasing spending over time. This research shows that all these spending patterns emerge at optimality for the same response function dynamics, due to differences in salvage value assumptions. I use these results to develop a methodology for determining the optimal planning horizon length for each pattern of spending.

Original languageEnglish (US)
Pages (from-to)1357-1362
Number of pages6
JournalAutomatica
Volume42
Issue number8
DOIs
StatePublished - Aug 1 2006

Keywords

  • Advertising
  • Boundary value
  • Hamilton-Jacobi-Bellman
  • Nerlove-Arrow
  • Stochastic optimal control

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Electrical and Electronic Engineering

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