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http://hdl.handle.net/11375/5465
Title: | Optimal control of an Ornstein-Uhlenbeck diffusion process, with applications |
Authors: | Archer, Norman P. McMaster University, Faculty of Business |
Keywords: | Ornstein-Uhlenbeck diffusion;Diffusion models;Buffer stock model;First order autoregressive model |
Publication Date: | Nov-1984 |
Series/Report no.: | Research and working paper series (McMaster University. Faculty of Business) no. 231 |
Abstract: | <p>The Ornstein-Uhlenbeck diffusion process presents an opportunity for the development of approximation models of many real processes in business and industry because it is the continuous analog of the first order autoregressive process. The Ornstein-Uhlenbeck process has two decision variables: one relates to the target level of the process trajectory, and the other relates to the dispersion of the process sample paths. An optimization model of the process is developed, which includes holding or carrying costs, control costs and penalty costs. The penalty costs are related to the nearness of the process trajectory to reflecting barriers which are included in the model.</p> |
Description: | <p>17, 2 leaves ; Bibliography: leaves 16-17. ;</p> <p>This work was supported by a grant from the Natural Sciences and Engineering Research Council of Canada.</p> |
URI: | http://hdl.handle.net/11375/5465 |
Identifier: | dsb/126 1125 4944149 |
Appears in Collections: | DeGroote School of Business Working Paper Series |
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