Solution of the dynamic programming equation for a trading problem∗

DOI10.1080/02331939508844074MaRDI QIDQ4836765zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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(5)

• A forward algorithm for a generalized wheat trading model
• A model for speculation in a dynamic economy
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• Nerlove-Arrow: a new solution to an old problem

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