Guo, X.; Kaminsky, P.; Tomecek, P.; Yuen, M. - In: Mathematical Methods of Operations Research 73 (2011) 1, pp. 109-137
We consider a firm facing random demand at the end of a single period of random length. At any time during the period, the firm can either increase or decrease inventory by buying or selling on a spot market where price fluctuates randomly over time. The firm’s goal is to maximize expected...