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math.OC2011
Optimal Control of Brownian Inventory Models with Convex Inventory Cost: Discounted Cost Case
Jim Dai, Dacheng Yao
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a…
math.OC2011
Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case
Jim Dai, Dacheng Yao
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a…