Optimal Inventory Control with Jump Diffusion and Nonlinear Dynamics in the Demand
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Publication:4601236
DOI10.1137/16M1091885zbMath1378.35176OpenAlexW2782487780MaRDI QIDQ4601236
Ka-Fai Cedric Yiu, Jingzhen Liu, Alain Bensoussan
Publication date: 12 January 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1091885
Variational inequalities (49J40) Dynamic programming (90C39) Optimal stochastic control (93E20) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61)
Related Items (2)
Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels ⋮ Impulse Control with Discontinuous Setup Costs: Discounted Cost Criterion
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