Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs
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Publication:320103
DOI10.1016/j.ejor.2015.06.061zbMath1346.90019arXiv1409.0665OpenAlexW2243618914MaRDI QIDQ320103
Gabriele Stabile, Giorgio Ferrari, Maria B. Chiarolla
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1409.0665
base inventory levelcontinuous time inventoryfirst order conditions for optimalityLévy price processmonotone follower problem
Stochastic programming (90C15) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42)
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Pricing policies for selling indivisible storable goods to strategic consumers, Fully discrete schemes for monotone optimal control problems, On a Class of Infinite-Dimensional Singular Stochastic Control Problems
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