Solution of the dynamic programming equation for a trading problem∗

DOI10.1080/02331939508844074zbMATH Open0821.90038OpenAlexW2061384075MaRDI QIDQ4836765FDOQ4836765

Authors: Ryszarda Rempała 

Publication date: 21 June 1995

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331939508844074

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zbMATH Keywords

stationary Markov processmarket modelstrading probleminfinite period, discounted, one- commodity stock-exchange problem

Mathematics Subject Classification ID

Dynamic programming (90C39) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Dynamic programming and stochastic control
• Conditions for optimality in dynamic programming and for the limit of n-stage optimal policies to be optimal
• Stochastic Prices in a Single-Item Inventory Purchasing Model
• Stockpiling under price uncertainty and storage capacity constraints

Cited In (4)

• A model for speculation in a dynamic economy
• Title not available (Why is that?)
• Title not available (Why is that?)
• A forward algorithm for a generalized wheat trading model

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