Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem

This paper investigates whether a regime switching model of stochastic lumber prices is better for the analysis of optimal harvesting problems in forestry than a more traditional single regime model. Prices of lumber derivatives are used to calibrate a regime switching model, with each of two regimes characterized by a different mean reverting process. A single regime, mean reverting process is also calibrated. The value of a representative stand of trees and optimal harvesting prices are determined by specifying a Hamilton-Jacobi-Bellman Variational Inequality, which is solved for both pricing models using a implicit finite difference approach. The regime switching model is found to more closely match the behavior of futures prices than the single regime model. In addition, analysis of a tree harvesting problem indicates significant differences in terms of land value and optimal harvest thresholds between the regime switching and single regime models.     

On the local stability of the solution to optimal control problems

New conditions for the local stability of optimal control problems are presented. The conditions are an extension of the results of a previous study focusing on the solution to problems solvable using calculus of variations. A comparison is made between the conditions introduced here and those presented in the literature. It is shown that our condition is roughly as powerful as the one presented by Sorger (J. Math. Anal. Appl. 148 (1990) 191) but it is easier to check.     

An algorithm for the solution of stochastic optimal control problems for large nonlinear econometric models

This paper considers the problem of solving an optimal control problem for large dynamic economic models which are both nonlinear and stochastic. It proposes a technique which combines conventional deterministic optimal control algorithms with the procedure of stochastic simulation, which calculates a numerical approximation to the distribution of the models endogenous variables. The new technique is computationally feasible for even large nonlinear models and, as an illustration of this, the Bank of England's large quarterly forecasting model is used in an example.     

Towards an integrative framework of strategic international human resource control: the case of Taiwanese subsidiaries in the People's Republic of China

This study integrates the resource-based view of the firm, the resource dependence model, institutionalism theory and the cybernetic system model into a framework to investigate the determinants of international human resource (IHR) control at the subsidiary level. The effects of competitive strategies and the mediating effects of inter-organizational interdependencies on three different dimensions of IHR control (input, behaviour and output) were studied by using a sample of 101 Taiwanese subsidiaries operating in the People's Republic of China (PRC). Four notable associations were found: (1) a robust direct relationship between the adoption of a low-cost strategy and two dimensions of IHR control (behaviour and output) was testified; (2) an indirect effect of a low-cost strategy on IHR input control through dependence on the parent's resources was found; (3) the direct relationship between local differentiation strategy and IHR input control could not be testified because a positive mediating effect of dependence on local resources counteracted the negative mediating effect of dependence on parents resources; (4) the direct effects of dependence on local resources on the IHR input control and dependence on parent's resources on IHR input control and behavioural control were testified.