Inventory Policy in the Presence of Market Disruptions
Operations Research · 1987 · Volume 35 · Issue 2
Abstract
This paper presents a dynamic model concerning optimal inventory policies in the presence of market disruptions, which are often characterized by events with uncertain arrival time, severity and duration. The model is based on the framework of a continuous-time Markov decision process with a finite state space. We develop a general characterization of the optimal inventory policy, interpret it in economic terms, and then apply it to two special cases, yielding explicit analytic results.
Keywords
120 Markov decision process, 131 economic interpretations and applications, 331 optimal inventory policy
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