A Computational Method for Stochastic Impulse Control Problems

DOI10.1287/moor.1100.0466zbMath1217.93181MaRDI QIDQ3169122

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

impulse control; free-boundary problem; stochastic inventory control; stochastic cash management

Mathematics Subject Classification ID

49J40: Variational inequalities

90B05: Inventory, storage, reservoirs

93E20: Optimal stochastic control

60J60: Diffusion processes

49N25: Impulsive optimal control problems

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