Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy.
Monique JeanblancPeter LaknerAshay KadamPublished in: Math. Oper. Res. (2004)
Keyphrases
- infinite horizon
- optimal policy
- long run
- average cost
- finite horizon
- optimal control
- credit risk
- holding cost
- dynamic programming
- periodic review
- inventory policy
- stochastic demand
- single item
- control policies
- markov decision processes
- markov decision process
- optimal production
- total reward
- control policy
- stationary policies
- expected cost
- state dependent
- state space
- fixed cost
- demand distributions
- reinforcement learning
- partially observable
- asymptotically optimal
- lost sales
- decision problems
- production capacity
- markov decision problems
- average reward
- policy iteration
- decision making
- optimal solution
- single product
- total cost
- inventory control
- finite state
- inventory systems
- lead time
- multistage
- production planning
- lot sizing
- single stage
- inventory models
- optimal strategy
- dec pomdps
- lot size
- inventory level
- action space