Optimal policy for Brownian inventory models with general convex inventory cost

DOI10.1007/S10255-013-0201-YzbMath1267.90014OpenAlexW2156657127MaRDI QIDQ1945984

Da-Cheng Yao

Publication date: 17 April 2013

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-013-0201-y

zbMATH Keywords

Brownian motionimpulse control\((s,S)\) policystochastic inventory model

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

• Unnamed Item
• Impulse Control of Brownian Motion
• Impulse Control of Brownian Motion: The Constrained Average Cost Case
• Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
• Optimality of an $(s,S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-Variational Inequalities Approach
• A Solvable One-Dimensional Model of a Diffusion Inventory System
• Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control
• Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
• Optimal Impulse Control When Control Actions Have Random Consequences
• Explicit Solution of Inventory Problems with Delivery Lags
• Optimal Control of a Brownian Production/Inventory System with Average Cost Criterion
• A continuous time inventory model

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