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Brownian inventory models with convex holding cost, Part 2: Discount-optimal controls
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Brownian inventory models with convex holding cost, Part 2: Discount-optimal controls (2013)Brownian inventory models with convex hol…Brownian inventory models with convex holding cost, Part 1: Average-optimal controls (2013)Brownian inventory models wit…A Computational Method for Stochastic Impulse Control Problems (2010)A Computational Method for St…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Optimal impulse control for cash management¶with quadratic holding-penalty costs (2002)Optimal impulse control for c…Infinite-Dimensional Linear Programming Approach to SingularStochastic Control (1997)Infinite-Dimensional Linear P…Kinked Adjustment Costs and Aggregate Dynamics (1990)Kinked Adjustment Costs and A…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…Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control (1977)Optimal Impulse Control of a …Brownian Motion and Stochastic Flow Systems. (1987)Applied Stochastic Control of Jump Diffusions (2005)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)Cash Balance and Simple Dynamic Portfolio Problems with Proportional Costs (1969)Expectancy balance model for cash flow (2011)Optimality of Refraction Strategies for Spectrally Negative Lévy Processes (2016)Stochastic differential equations with reflecting boundary conditions (1984)Controlled Markov Processes and Viscosity Solutions (2005)Stochastic differential equations and applications (2008)Solving the Drift Control Problem (2015)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)Applied Stochastic Control of Jump Diffusions (2007)Impulse Control of Interest Rates (2014)Stochastic Impulse Control with Regime-Switching Dynamics (2015)Dynamic Credit-Collections Optimization (2019)Introduction to stochastic control (1971)MARKET RISK ADJUSTMENT IN PROJECT VALUATION (1978)The Optimality of (S,s) Policies in the Dynamic Inventory Problem (2005)Stochastic Differential Equations (2006)Sheltering Corporate Assets from Political Extraction (2011)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)Optimum Pricing Policy under Stochastic Inflation (1983)Super contact and related optimality conditions (1991)Impulse Control Method and Exchange Rate (1993)Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes (2010)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1983Instantaneous Control of Brownian Motion295 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
  • 1977Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control52 cited
  • 2002Optimal impulse control for cash management¶with quadratic holding-penalty costs37 cited
  • 2010A Computational Method for Stochastic Impulse Control Problems31 cited
  • 1997Infinite-Dimensional Linear Programming Approach to SingularStochastic Control25 cited
  • 2013Brownian inventory models with convex holding cost, Part 1: Average-optimal controls12 cited

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