A computational method for stochastic impulse control problems

DOI10.1287/MOOR.1100.0466MaRDI QIDQ3169122zbMATH OpenOpenAlexFDO

Authors Haolin Feng, Kumar Muthuraman

Publication date 27 April 2011

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/bd51f7c6abdc963635944261230b9cda57373bfb

zbMATH Keywords

free-boundary problemimpulse controlstochastic cash managementstochastic inventory control

Mathematics Subject Classification ID

Variational inequalities (49J40) Impulsive optimal control problems (49N25) Diffusion processes (60J60) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20)

Recommendations

• Optimal impulse control on an unbounded domain with nonlinear cost functions
• A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
• Infinite horizon impulse control problem with continuous costs, numerical solutions
• Solving impulse-control problems with control delays
• scientific article; zbMATH DE number 1897413

Cited in

(22)

• Stochastic impulse control with regime-switching dynamics
• Some applications of impulse control in mathematical finance
• Regression Monte Carlo for impulse control
• Management of online server congestion using optimal demand throttling
• Valuing switching options with the moving-boundary method
• Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
• Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
• An impulse control of a geometric Brownian motion with quadratic costs
• Solving impulse-control problems with control delays
• Impulse control of interest rates
• A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
• Infinite horizon impulse control problem with continuous costs, numerical solutions
• Optimal drift rate control and impulse control for a stochastic inventory/production system
• scientific article; zbMATH DE number 1897413 (Why is no real title available?)
• Brownian inventory models with convex holding cost. I: Average-optimal controls
• Brownian inventory models with convex holding cost. II: Discount-optimal controls
• Inventory management with stochastic lead times
• Impulse Control: Boolean Programming and Numerical Algorithms
• Optimal cash management using impulse control
• Deep impulse control: application to interest rate intervention
• Implementing stochastic control software on supercomputing machines
• Optimal impulse control on an unbounded domain with nonlinear cost functions

This page was built for publication: A computational method for stochastic impulse control problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3169122)