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math.OC2017
On Lipschitz continuous optimal stopping boundaries
Tiziano De Angelis, Gabriele Stabile
We obtain a probabilistic proof of the local Lipschitz continuity for the optimal stopping boundary of a class of problems with state space , . To…
math.OC2014
Optimal Dynamic Procurement Policies for a Storable Commodity with Lévy Prices and Convex Holding Costs
Maria B. Chiarolla, Giorgio Ferrari, Gabriele Stabile
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty.…