Ergodic control for a mean reverting inventory model
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Publication:1716996
DOI10.3934/jimo.2017079zbMath1412.35187OpenAlexW2759772263MaRDI QIDQ1716996
Alain Bensoussan, Jingzhen Liu, Ka-Fai Cedric Yiu
Publication date: 5 February 2019
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2017079
Variational inequalities (49J40) Dynamic programming (90C39) Optimal stochastic control (93E20) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61)
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