TY - JOUR
T1 - Base stock list price policy in continuous time
AU - Bensoussan, Alain
AU - Skaaning, Sonny
PY - 2017/1/1
Y1 - 2017/1/1
N2 - We study the problem of inventory control, with simultaneous pricing optimization in continuous time. For the classical inventory control problem in continuous time, see [5], as a recent reference. We incorporate pricing decisions together with inventory decisions. We consider the situation without fixed cost for an infinite horizon. Without pricing, under very natural assumptions, the optimal ordering policy is given by a Base stock, which we review briefly. With pricing, the natural generalization is the so called "Base Stock list price" (BSLP) term coined by E. Porteus, see [26], and was shown in discrete time by A. Federgruen and A. Herching to be the optimal strategy, see [14]. We extend the concept to continuous time which not only complicates the dynamics of the problem, which has never been considered before.
AB - We study the problem of inventory control, with simultaneous pricing optimization in continuous time. For the classical inventory control problem in continuous time, see [5], as a recent reference. We incorporate pricing decisions together with inventory decisions. We consider the situation without fixed cost for an infinite horizon. Without pricing, under very natural assumptions, the optimal ordering policy is given by a Base stock, which we review briefly. With pricing, the natural generalization is the so called "Base Stock list price" (BSLP) term coined by E. Porteus, see [26], and was shown in discrete time by A. Federgruen and A. Herching to be the optimal strategy, see [14]. We extend the concept to continuous time which not only complicates the dynamics of the problem, which has never been considered before.
KW - Base stock list price
KW - Continuous time
KW - Quasi-variational inequalities
KW - Stochastic dynamic programming
KW - Stochastic inventory control
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U2 - 10.3934/dcdsb.2017001
DO - 10.3934/dcdsb.2017001
M3 - RGC 21 - Publication in refereed journal
SN - 1531-3492
VL - 22
SP - 1
EP - 28
JO - Discrete and Continuous Dynamical Systems - Series B
JF - Discrete and Continuous Dynamical Systems - Series B
IS - 1
ER -