Optimal discounted control for a continuous time inventory model

DOI10.1007/BF00934895MaRDI QIDQ786780zbMATH OpenFDO

Authors K. Helmes

Publication date 1984

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00934895

zbMATH Keywords

approximation of controlled diffusionsBellman equationBellman's optimality principlecontrolled Markov chainsdiscounted stochastic control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Stochastic approximation (62L20) Inventory, storage, reservoirs (90B05) Dynamic programming (90C39) Optimal stochastic control (93E20)

Cites work

• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
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• On Benes' bang-bang control problem
• On the Strong Solutions of Stochastic Differential Equations
• Optimal control for a class of partially observable systems^†
• Optimal discounted linear control of the Wiener process
• Probability methods for approximations in stochastic control and for elliptic equations
• Reflected Brownian Motion in the “Bang-Bang” Control of Brownian Drift
• Sequential Tests for the Mean of a Normal Distribution IV (Discrete Case)

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