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ArticleOptimal control of a Brownian storage system

J. Michael Harrison1978

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Articlebronze1978

Optimal control of a Brownian storage system

J. Michael Harrison · Allison J. Taylor

115 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Supply Chain and Inventory Management Probability and Risk Models

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References

1966A continuous time inventory model 1970The Stochastic Cash Balance Problem with Fixed Costs for Increases and Decreases 1976Stochastic Cash Management with Fixed and Proportional Transaction Costs 1968Optimal Cash Balance Levels

Cited by

2008Optimal dividend strategies in a Cramér–Lundberg model with capital injections 1985Average Optimal Singular Control and a Related Stopping Problem 1991A free boundary problem related to singular stochastic control: the parabolic case 2013Brownian Inventory Models with Convex Holding Cost, Part 1: Average-Optimal Controls 2013Optimal Control of a Brownian Production/Inventory System with Average Cost Criterion 2012Optimal dividend and equity issuance problem with proportional and fixed transaction costs 2002Optimal impulse control for cash management¶with quadratic holding-penalty costs 2000Optimal Policies for n -Dimensional Singular Stochastic Control Problems Part I: The Skorokhod Problem

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Details

Year1978

Typearticle

Published1978-01-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations115

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-4149(78)90059-5

openalex_workW2064762500

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