Optimal Control of Brownian Inventory Models with Convex Inventory Cost: Discounted Cost Case

DOI10.1214/11-SSY046zbMath1298.60084arXiv1110.6572OpenAlexW1595980179MaRDI QIDQ5168873

J. G. Dai, Da-Cheng Yao

Publication date: 21 July 2014

Full work available at URL: https://arxiv.org/abs/1110.6572

zbMATH Keywords

free boundary problemimpulse controlverification theoremsingular controlquasi-variational inequalitysmooth pastingcontrol band

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

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 ⋮ Technical Note—On the Optimality of Reflection Control ⋮ Impulse Control with Discontinuous Setup Costs: Discounted Cost Criterion ⋮ 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 ⋮ Irreversible investment with fixed adjustment costs: a stochastic impulse control approach ⋮ Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case ⋮ Inventory Management with Stochastic Lead Times ⋮ Optimality of doubly reflected Lévy processes in singular control

Cites Work

• Nouvelles méthodes en contrôle impulsionnel
• Optimal impulse control for cash management with quadratic holding-penalty costs
• Instantaneous Control of Brownian Motion
• Impulse Control of Brownian Motion
• A Computational Method for Stochastic Impulse Control Problems
• Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control
• Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
• Infinite-Dimensional Linear Programming Approach to SingularStochastic Control
• Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case

This page was built for publication: Optimal Control of Brownian Inventory Models with Convex Inventory Cost: Discounted Cost Case