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Brownian Inventory Models with Convex Holding Cost, Part 2: Discount-Optimal Controls

https://doi.org/10.1287/11-ssy046
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Stochastic Integration and Differential Equations
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The optimality of a control band policy
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Optimal Impulse Control of a Diffusion Process with Both Fixed and Proportional Costs of Control
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Infinite-Dimensional Linear Programming Approach to SingularStochastic Control
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Brownian Inventory Models with Convex Holding Cost, Part 1: Average-Optimal Controls
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A Computational Method for Stochastic Impulse Control Problems
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Instantaneous Control of Brownian Motion
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Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Brownian Inventory Models with Convex Holding Cost, Part 1: Average-Optimal Controls
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Dynamic Control of a Make-to-Order System Under Model Uncertainty
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Instantaneous Control of Brownian Motion with a Positive Lead Time
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Impulse Control of Interest Rates
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