Brownian Inventory Models with Convex Holding Cost, Part 2: Discount-Optimal Controls-Reference-Cited by-同舟云学术

Brownian Inventory Models with Convex Holding Cost, Part 2: Discount-Optimal Controls

Published:2013-12 Issue:2 Volume:3 Page:500-573
ISSN:1946-5238
Container-title:Stochastic Systems
language:en
Short-container-title:Stochastic Systems

Author:

Dai J. G.¹,Yao Dacheng²

Affiliation:

1. School of Operations Research and Information Engineering Cornell University 136 Roy Road Ithaca, New York, 14853, U.S.A.

2. Institute of Applied Mathematics Academy of Mathematics and Systems Science Chinese Academy of Sciences No. 55, Zhongguancun East Road Haidian District, Beijing, 100190, China

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Reference13 articles.

1. Optimal impulse control for cash management¶with quadratic holding-penalty costs

2. Nouvelles Methodes en Contr�le Impulsionnel

3. Bertola, G. and Caballero, R. J. (1990).Kinked Adjustment Costs and Aggregate Dynamics. MIT Press, 237–296.

4. Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time

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