Optimal control of a Brownian production/inventory system with average cost criterion
DOI10.1287/MOOR.2013.0603zbMATH Open1311.49046OpenAlexW2071191354MaRDI QIDQ5169697FDOQ5169697
Authors: Jingchen Wu, Xiuli Chao 
Publication date: 11 July 2014
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.2013.0603
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dynamic programmingBrownian motionoptimal controlstochastic controlstochastic differential equationsproduction/inventory systems
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20)
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