Degree Type

Creative Component

Semester of Graduation

Spring 2019

Department

Mathematics

First Major Professor

Ananda Weerasinghe

Degree(s)

Master of Science (MS)

Major(s)

Applied Mathematics

Abstract

A long-run average cost problem in stochastic control theory is addressed. This problem is related to the optimal control of a production-inventory system which is subjected to random fluctuation. The approach taken here is based on finding a smooth solution to the corresponding Hamilton-Jacobi-Bellman equation. This solution in turn is used to derive an optimal process for the above long-run average cost problem. Using the invariant distributions for positive recurrent diffusion processes, another derivation for the optimal long-run average cost is provided here.

Copyright Owner

Xie, Bowen

File Format

PDF

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