impulse control

Wednesday, May 9, 2018 - 11:00am - 11:50am
Maurice Robin (École Polytechnique)
*also affiliated with University Paris-Saclay
Monday, May 7, 2018 - 3:00pm - 3:30pm
Chao Zhu (University of Wisconsin, Milwaukee)
This work considers an optimal inventory control problem using a long-term average criterion. In absence of ordering, the inventory process is modeled by a one-dimensional diffusion on some interval of $(-\infty, \infty)$ with general drift and diffusion coefficients and boundary points that are consistent with the notion that demands tend to reduce the inventory level. Orders instantaneously increase the inventory level and incur both positive fixed and level dependent costs. In addition, state-dependent holding/backorder costs are incurred continuously.
Wednesday, May 9, 2018 - 10:00am - 10:50am
Jose Menaldi (Wayne State University)
First, an optimal stopping problem of a Markov-Feller process is considered when the controller is allowed to stop the evolution only at the arrival times of a signal. A complete setting and resolution of this problem is discussed, e.g., when the inter-arrival times of the signal are independent identically distributed random variables, and then several extensions to other signals and to other cases of state spaces are also mentioned.
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