Instantaneous Control of Brownian Motion with a Positive Lead Time

DOI10.1287/moor.2018.0951zbMath1441.93352arXiv1608.01526OpenAlexW2963018954WikidataQ127674302 ScholiaQ127674302MaRDI QIDQ5108225

Rachel Q. Zhang, Jiheng Zhang, Zhen Xu

Publication date: 30 April 2020

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.01526

zbMATH Keywords

Brownian motionlead timereflection mappingHJB-equation\(L^\natural \)-convexity

Mathematics Subject Classification ID

Transportation, logistics and supply chain management (90B06) Brownian motion (60J65) Optimal stochastic control (93E20)

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