Applications of robust stochastic control in optimal inventory management

This paper investigates the general approach that applies the concept of equivalent measures and the change of measure to build robust impulse control models based on the existing optimal impulse control framework. Two dynamic decision making processes are studied in the presence of stochastic uncer...

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Bibliographic Details
Main Author: Tang, Zimo
Other Authors: PUN Chi Seng
Format: Final Year Project
Language:English
Published: Nanyang Technological University 2020
Subjects:
Online Access:https://hdl.handle.net/10356/139554
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Institution: Nanyang Technological University
Language: English