ON THE CONVEXITY OF VALUE FUNCTIONS FOR A CERTAIN CLASS OF STOCHASTIC DYNAMIC PROGRAMMING PROBLEM

DOI10.1081/SAP-120006107zbMath1022.90011MaRDI QIDQ4796578

Peter C. Kiessler, Steven P. Clark

Publication date: 5 March 2003

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic dynamic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Dynamic programming (90C39)

Related Items (1)

Computing a Stationary Base-Stock Policy for a Finite Horizon Stochastic Inventory Problem with Non-linear Shortage Costs

Cites Work

• Controlled diffusion models for optimal dividend pay-out
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