A Free Boundary Problem of Liquidity Management for Optimal Dividend and Insurance in Finite Horizon.
Xiaoshan ChenChonghu GuanFahuai YiPublished in: SIAM J. Control. Optim. (2021)
Keyphrases
- finite horizon
- optimal stopping
- optimal policy
- infinite horizon
- single product
- markov decision processes
- inventory control
- inventory models
- single item
- average cost
- markov decision process
- yield management
- lot size
- dynamic programming
- multistage
- inventory policy
- control policies
- periodic review
- long run
- decision making
- asymptotically optimal
- finite number
- optimal control
- linear program
- lost sales
- brownian motion
- search algorithm
- machine learning