Open AccessOptimal impulse control of a mean-reverting inventory with quadratic costs
Author(s) -
Yanqing Hu,
Zaiming Liu,
Jinbiao Wu
Publication year - 2018
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2018027
Subject(s) - impulse control , mean reversion , impulse (physics) , quadratic equation , mathematical optimization , inventory control , computer science , stochastic control , time horizon , total cost , holding cost , optimal control , average cost , mathematics , economics , operations research , econometrics , microeconomics , geometry , quantum mechanics , psychology , physics , psychotherapist