Two-Sided Singular Control of an Inventory with Unknown Demand Trend

DOI10.1137/21m1442115zbMath1526.93277arXiv2102.11555OpenAlexW3139364221MaRDI QIDQ6057797

Salvatore Federico, Giorgio Ferrari, Neofytos Rodosthenous

Publication date: 26 October 2023

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.11555

zbMATH Keywords

Dynkin gamesinventory managementpartial observationfree boundariesbounded-variation stochastic control

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Variational inequalities (49J40) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20) Games of timing (91A55)

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