We consider a discrete-time optimal consumption and investment problem of an investor who is interested in maximizing his utility from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes...

We solve an agent's optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain...

This note is concerned with the optimality of an (s; S) policy for a single-item infinite-horizon inventory model when the penalty cost is made-up of two parts: A lump-sum cost independent of the amount of the shortage and a variable cost proportional to the amount of the shortage. Using a...

Business environments change over time. They are cyclic, show seasonality or just evolve over time. This is certainly true for customer demand. As a result, stationary demand distributions are crude approximations of true customer behavior at best. Yet, most classical stochastic inventory models...

This paper investigates the dynamic inventory model for the case when production in a period is restricted to a finite set of specified values. The model allows the production rate to be any value in the set (0, P, 2P, ..., mP), where m is a non-negative integer. It is assumed that the setup...

This paper proposes a new methodology to solve partially observed inventory problems. Generally, these problems have infinitedimensional states that are conditional distribution of the inventory level. Our methodology involves linearizing the state transitions via unnormalized probabilities. It...

We develop an optimal control model to maximize the net value provided by a software system over its useful life. The model determines the initial number of features in the system, the level of dynamic enhancement effort, and the lifetime of the system. The various factors affecting these...

This paper presents an asymptotic analysis of control models governed by stochastic ordinary differential equations. A sufficient condition of near-optimal controls is given based on Ekeland's principle. It is shown that, under some concavity assumptions, the e-maximum condition in terms of the...

This paper obtains decision and forecast horizons for undiscounted, continuous time one dimensional control systems. Some general conditions for the existence of horizons arising from the constraints imposed on the system are derived by using the optimality principle. These conditions are...

A simulation model based on a real wafer fabrication is used to investigate the robustness of the two boundary (TB) production control strategy to the existing uniform loading policy used in a semiconductor fab. Our findings confirm that the TB policy is the most robust of all when random...