Optimal Control of Brownian Inventory Models with Convex Inventory Cost: Discounted Cost Case
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Publication:5168873
DOI10.1214/11-SSY046zbMath1298.60084arXiv1110.6572OpenAlexW1595980179MaRDI QIDQ5168873
Publication date: 21 July 2014
Full work available at URL: https://arxiv.org/abs/1110.6572
free boundary problemimpulse controlverification theoremsingular controlquasi-variational inequalitysmooth pastingcontrol band
Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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Cites Work
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- Instantaneous Control of Brownian Motion
- Impulse Control of Brownian Motion
- A Computational Method for Stochastic Impulse Control Problems
- Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control
- Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time
- Infinite-Dimensional Linear Programming Approach to SingularStochastic Control
- Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case
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