A Solvable One-Dimensional Model of a Diffusion Inventory System
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Publication:3737360
DOI10.1287/MOOR.11.1.125zbMATH Open0601.93069OpenAlexW2018328814MaRDI QIDQ3737360FDOQ3737360
Authors: Agnès Sulem 
Publication date: 1986
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.11.1.125
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Dynamic programming (90C39) Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20)
Cited In (43)
- Irreversible investment with fixed adjustment costs: a stochastic impulse control approach
- Optimality of refraction strategies for spectrally negative Lévy processes
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- Optimal inventory control with path-dependent cost criteria
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- Optimal inventory control with shrinkage and observed sales
- Explicit Solution of a Two-Dimensional Deterministic Inventory Problem
- Title not available (Why is that?)
- Impulse control of interest rates
- A weak convergence approach to inventory control using a long-term average criterion
- A measure approach for continuous inventory models: discounted cost criterion
- Optimality of \((s,S)\) policies for a stochastic inventory model with proportional and lump-sum shortage costs
- Valuing switching options with the moving-boundary method
- An optimal pricing policy under a Markov chain model
- Optimal inventory control with jump diffusion and nonlinear dynamics in the demand
- A diffusion inventory model for deteriorating items
- Optimal Central Bank intervention in the foreign exchange market
- An optimal dividends problem with transaction costs for spectrally negative Lévy processes
- Optimal spot market inventory strategies in the presence of cost and price risk
- Nonzero-sum stochastic games and mean-field games with impulse controls
- A stochastic inventory model for a random yield supply chain with wholesale-price and shortage penalty contracts
- Solving impulse-control problems with control delays
- Optimal exchange rates management using stochastic impulse control for geometric Lévy processes
- Optimal control policy for a standing order inventory system
- Optimal control policy for a Brownian inventory system with concave ordering cost
- Optimal consumption under deterministic income
- Brownian inventory models with convex holding cost. I: Average-optimal controls
- On a stochastic inventory model with a generalized holding costs
- Computational aspects in applied stochastic control
- Inventory management with stochastic lead times
- Optimal cash management using impulse control
- Time-to-build and capacity choice
- Optimal policy for Brownian inventory models with general convex inventory cost
- An (s,r,S) Diffusion Inventory Model with Exponential Leadtimes and Order Cancellations
- Continuous inventory models of diffusion type: long-term average cost criterion
- Explicit Solution of Inventory Problems with Delivery Lags
- A generalized impulse control model of cash management
- OPTIMAL ORDERING POLICIES WITH STOCHASTIC DEMAND AND PRICE PROCESSES
- Impulse control with discontinuous setup costs: discounted cost criterion
- Optimality of doubly reflected Lévy processes in singular control
- Deep impulse control: application to interest rate intervention
- Ergodic control for a mean reverting inventory model
- Optimality of \((s,S)\) policies with nonlinear processes
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