Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case
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Publication:5168872
DOI10.1214/11-SSY041zbMath1295.60096arXiv1110.2831OpenAlexW1568914899MaRDI QIDQ5168872
Publication date: 21 July 2014
Full work available at URL: https://arxiv.org/abs/1110.2831
free boundary problemimpulse controlverification theoremsingular controlinstantaneous controlquasi-variational inequalitysmooth pastingcontrol band
Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (18)
Optimal inventory control with path-dependent cost criteria ⋮ Impulse Control of Interest Rates ⋮ Management of online server congestion using optimal demand throttling ⋮ Optimal exchange rates management using stochastic impulse control for geometric Lévy processes ⋮ Two-Sided Singular Control of an Inventory with Unknown Demand Trend ⋮ Instantaneous Control of Brownian Motion with a Positive Lead Time ⋮ A CONTINUOUS REVIEW MODEL WITH GENERAL SHELF AGE AND DELAY-DEPENDENT INVENTORY COSTS ⋮ Synthesis and Generalization of Structural Results in Inventory Management: A Generalized Convexity Property ⋮ Technical Note—On the Optimality of Reflection Control ⋮ Controlling the Running Maximum of a Diffusion Process and an Application to Queueing Systems ⋮ Optimal Drift Rate Control and Impulse Control for a Stochastic Inventory/Production System ⋮ Optimal control policy for a Brownian inventory system with concave ordering cost ⋮ The economic average cost Brownian control problem ⋮ A weak convergence approach to inventory control using a long-term average criterion ⋮ Irreversible investment with fixed adjustment costs: a stochastic impulse control approach ⋮ Optimal Control of Brownian Inventory Models with Convex Inventory Cost: Discounted Cost Case ⋮ Inventory Management with Stochastic Lead Times ⋮ Optimality of doubly reflected Lévy processes in singular control
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