A NEW APPROACH FOR THE STOCHASTIC CASH BALANCE PROBLEM WITH FIXED COSTS

DOI10.1017/S0269964809000242zbMath1176.90011MaRDI QIDQ3644937

Xin Chen, David Simchi-Levi

Publication date: 13 November 2009

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingholding costoptimal policycash balancestochastic problemspenalty cost

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Inventory, storage, reservoirs (90B05) Dynamic programming (90C39)

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Cites Work

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• Coordinating Inventory Control and Pricing Strategies with Random Demand and Fixed Ordering Cost: The Finite Horizon Case
• Optimality Inequalities for Average Cost Markov Decision Processes and the Stochastic Cash Balance Problem
• Optimal Cash Balance Levels
• The Stochastic Cash Balance Problem with Fixed Costs for Increases and Decreases
• Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs

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