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A Solvable One-Dimensional Model of a Diffusion Inventory System
6 references·16 citing·41 second hop
A Solvable One-Dimensional Model of a Diffusion Inventory System (1986)A Solvable One-Dimensional Model of a Dif…The Optimality of (S,s) Policies in the Dynamic Inventory Problem (2005)The Optimality of (S,s) Polic…Impulse Control of Brownian Motion (1983)Impulse Control of Brownian M…Stochastic Control by Functional Analysis Methods (1982)Stochastic Control by Functio…Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time (1978)Existence of Optimal Simple P…Introduction to stochastic control (1971)Introduction to stochastic co…A continuous time inventory model (1966)A continuous time inventory m…Inventory Management with Stochastic Lead Times (2014)Inventory Management with Sto…Quantitative Energy Finance (2013)Quantitative Energy FinanceOptimal Control of a Brownian Production/Inventory System with Average Cost Criterion (2013)Optimal Control of a Brownian…Brownian Inventory Models with Convex Holding Cost, Part 1: Average-Optimal Controls (2013)Brownian Inventory Models wit…Optimal spot market inventory strategies in the presence of cost and price risk (2010)Optimal spot market inventory…Optimal Control of a Mean-Reverting Inventory (2010)Optimal Control of a Mean-Rev…Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes (2009)Smooth Fit Principle for Impu…On the Benefit of Inventory‐Based Dynamic Pricing Strategies (2009)On the Benefit of Inventory‐B…An optimal dividends problem with transaction costs for spectrally negative Lévy processes (2009)An optimal dividends problem …Impulse Control of Brownian Motion: The Constrained Average Cost Case (2008)Impulse Control of Brownian M…A decision support model for optimal timing of investments in information technology upgrades (2006)A decision support model for …A generalized impulse control model of cash management (2003)A generalized impulse control…Time-to-build and capacity choice (2002)Time-to-build and capacity ch…Optimal impulse control for cash management¶with quadratic holding-penalty costs (2002)Optimal impulse control for c…Optimal Impulse Control When Control Actions Have Random Consequences (1997)Optimal Impulse Control When …Explicit Solution of Inventory Problems with Delivery Lags (1995)Explicit Solution of Inventor…An Analysis of Changes in Specialist Inventories and Quotations (1993)Handbook of Brownian Motion — Facts and Formulae (1996)Empirical Market Microstructure (2007)Operational Risk in Financial Services: A Review and New Research Opportunities (2016)Optimal Ordering Policy for Inventory Systems with Quantity-Dependent Setup Costs (2017)Optimization of the flow of dividends (1995)Stochastic Integration and Differential Equations (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes (2012)Optimal dividends in the dual model under transaction costs (2013)On Gerber–Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function (2015)The Transactions Demand for Cash: An Inventory Theoretic Approach (1952)Applied Probability and Queues (1987)Investment Under Uncertainty. (1994)On the Optimal Stochastic Impulse Control of Linear Diffusions (2008)Optimal impulse control for a multidimensional cash management system with generalized cost functions (2008)Sequential Capacity Expansion Options (2018)Optimal Inventory Policy (1951)Inflation and Costs of Price Adjustment (1977)Flow Coordination and Information Sharing in Supply Chains: Review, Implications, and Directions for Future Research (2002)The Costs of Environmental Regulation in a Concentrated Industry (2012)MARKET RISK ADJUSTMENT IN PROJECT VALUATION (1978)Instantaneous Control of Brownian Motion (1983)Stochastic Differential Equations (2006)Sheltering Corporate Assets from Political Extraction (2011)Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Multidimensional Reflected Brownian Motions Having Exponential Stationary Distributions (1987)Limit Theorems for Stochastic Processes (2003)Studies in the Mathematical Theory of Inventory and Production (1960)Heavy Traffic Limit Theorems for Queues: A Survey (1974)Optimal control of a Brownian storage system (1978)Additive Control of Stochastic Linear Systems with Finite Horizon (1985)Lectures in stochastic control (1983)General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations (2003)Ergodic Control of Diffusion Processes (2011)Optimum Pricing Policy under Stochastic Inflation (1983)Super contact and related optimality conditions (1991)Impulse Control Method and Exchange Rate (1993)Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model (1975)Run-to-Run Process Control: Literature Review and Extensions (1997)A unified framework for stochastic optimization (2018)
this work references cited by second hop

References

  • 2005The Optimality of (S,s) Policies in the Dynamic Inventory Problem711 cited
  • 1971Introduction to stochastic control609 cited
  • 1983Impulse Control of Brownian Motion234 cited
  • 1982Stochastic Control by Functional Analysis Methods204 cited
  • 1978Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time186 cited
  • 1966A continuous time inventory model131 cited

Cited by

  • 2003A generalized impulse control model of cash management71 cited
  • 2009An optimal dividends problem with transaction costs for spectrally negative Lévy processes71 cited
  • 2010Optimal Control of a Mean-Reverting Inventory64 cited
  • 2008Impulse Control of Brownian Motion: The Constrained Average Cost Case61 cited
  • 1997Optimal Impulse Control When Control Actions Have Random Consequences58 cited
  • 2002Time-to-build and capacity choice56 cited
  • 2013Brownian Inventory Models with Convex Holding Cost, Part 1: Average-Optimal Controls48 cited
  • 1995Explicit Solution of Inventory Problems with Delivery Lags48 cited
  • 2013Quantitative Energy Finance47 cited

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  • 2009Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes46 cited
  • 2009On the Benefit of Inventory‐Based Dynamic Pricing Strategies42 cited
  • 2006A decision support model for optimal timing of investments in information technology upgrades42 cited
  • 2013Optimal Control of a Brownian Production/Inventory System with Average Cost Criterion40 cited
  • 2002Optimal impulse control for cash management¶with quadratic holding-penalty costs37 cited
  • 2010Optimal spot market inventory strategies in the presence of cost and price risk34 cited
  • 2014Inventory Management with Stochastic Lead Times33 cited