Ergodic Control for a Mean Reverting Inventory Model

Keyphrases

• (s,S) Policy 100%
• Continuous Diffusion 50%
• Cost Value 50%
• Diffusion Process 50%
• Ergodic Control 100%
• Holding Cost 50%
• Infinite Time Horizon 50%
• Inventory Decision 50%
• Inventory Level 100%
• Inventory Model 100%
• Long-run Average Cost 100%
• Mean-reverting 100%
• Mean-reverting Process 50%
• Replenishment 50%
• Shortage Cost 50%
• Stochastic Impulse Control 50%
• Transaction Costs 50%

Mathematics

• Control Problems 50%
• Diffusion Process 50%
• Inventory Model 100%
• Minimizes 50%
• Stochastics 50%

Economics, Econometrics and Finance

• Inventory Model 100%
• Mean Reversion 50%
• Transaction Costs 50%