SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Brownian inventory models with convex holding cost, Part 1: Average-optimal controls
16 references·0 citing·40 second hop
Brownian inventory models with convex holding cost, Part 1: Average-optimal controls (2013)Brownian inventory models with convex hol…The Economics of Inaction (2008)The Economics of InactionStochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs (2002)Optimal Consumption and Portf…Dynamic scheduling of a system with two parallel servers in heavy traffic with resource pooling: asymptotic optimality of a threshold policy (2001)Dynamic scheduling of a syste…Some applications of impulse control in mathematical finance (1999)Some applications of impulse …Scheduling a Make-To-Stock Queue: Index Policies and Hedging Points (1996)Scheduling a Make-To-Stock Qu…Optimization of the flow of dividends (1995)Optimization of the flow of d…Impulse Control Method and Exchange Rate (1993)Impulse Control Method and Ex…Dynamic Scheduling of a Multiclass Make-to-Stock Queue (1992)Dynamic Scheduling of a Multi…A simplified treatment of the theory of optimal regulation of Brownian motion (1991)A simplified treatment of the…Kinked Adjustment Costs and Aggregate Dynamics (1990)Kinked Adjustment Costs and A…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Instantaneous Control of Brownian Motion (1983)Instantaneous Control of Brow…Impulse Control of Brownian Motion (1983)Impulse Control of Brownian M…Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time (1978)Existence of Optimal Simple P…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Principles on the Benefits of Manufacturing Process Flexibility (1995)On Customer Contact Centers with a Call-Back Option: Customer Decisions, Routing Rules, and System Design (2004)Maximum Pressure Policies in Stochastic Processing Networks (2005)Design and Control of a Large Call Center: Asymptotic Analysis of an LP-Based Method (2006)Controlled Stochastic Processes (1979)Controlled Diffusion Processes (1980)A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees (1988)A General Equilibrium Model of International Portfolio Choice (1993)Optimal risk and dividend distribution control models for an insurance company (2000)Un Cours sur les Intégrales Stochastiques (2002)Continuous Martingales and Brownian Motion (1991)Target Zones and Exchange Rate Dynamics (1991)Optimal Central Bank Intervention in the Foreign Exchange Market (1999)Entropy densities with an application to autoregressive conditional skewness and kurtosis (2002)Competition Among Financial Intermediaries and the Risk of Contagious Failures (2011)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Continuous Martingales and Brownian Motion (1999)Optimal investment for insurer with jump-diffusion risk process (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)Fluctuations of Lévy Processes with Applications (2014)The Interest-Elasticity of Transactions Demand For Cash (1956)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Entry and Exit Decisions under Uncertainty (1989)Asset returns with transactions costs and uninsured individual risk (1991)Machine Replacement and the Business Cycle: Lumps and Bumps (1999)The Flow Approach to Labor Markets: New Data Sources and Micro–Macro Links (2006)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Optimum Pricing Policy under Stochastic Inflation (1983)Super contact and related optimality conditions (1991)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)Commentary: The Stern Review's Economics of Climate Change (2007)Optimal Price Setting With Observation and Menu Costs (2011)Wait-and-see: Investment options under policy uncertainty (2015)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 1995Optimization of the flow of dividends320 cited
  • 1983Instantaneous Control of Brownian Motion295 cited
  • 2001Dynamic scheduling of a system with two parallel servers in heavy traffic with resource pooling: asymptotic optimality of a threshold policy284 cited
  • 1993Impulse Control Method and Exchange Rate270 cited
  • 2008The Economics of Inaction240 cited
  • 1983Impulse Control of Brownian Motion234 cited
  • 1990Kinked Adjustment Costs and Aggregate Dynamics227 cited
  • 1978Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time186 cited
  • 2002Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs185 cited
  • 1992Dynamic Scheduling of a Multiclass Make-to-Stock Queue165 cited
  • 1991A simplified treatment of the theory of optimal regulation of Brownian motion147 cited
  • 1996Scheduling a Make-To-Stock Queue: Index Policies and Hedging Points140 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1999Some applications of impulse control in mathematical finance132 cited
  • Cited by

    No citing works inside the corpus for this window.