Optimal control of a Brownian production/inventory system with average cost criterion
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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