Optimal discounted control for a continuous time inventory model

DOI10.1007/BF00934895zbMath0527.93066MaRDI QIDQ786780

Kurt Helmes

Publication date: 1984

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

zbMATH Keywords

Bellman equationBellman's optimality principlediscounted stochastic controlapproximation of controlled diffusionscontrolled Markov chains

Mathematics Subject Classification ID

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

Cites Work

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• Optimal discounted linear control of the Wiener process
• Probability methods for approximations in stochastic control and for elliptic equations
• On Benes' bang-bang control problem
• On the Strong Solutions of Stochastic Differential Equations
• Reflected Brownian Motion in the “Bang-Bang” Control of Brownian Drift
• Optimal control for a class of partially observable systems^†
• Sequential Tests for the Mean of a Normal Distribution IV (Discrete Case)
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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