This paper analyzes optimal replenishment policies that minimize expected discounted cost of multi-product stochastic inventory systems. The distinguishing feature of the multi-product inventory system that we analyze is the existence of correlated demand and joint-replenishment costs across...

We consider the instantaneous control of a diffusion process on the real line. Two types of costs are incurred: the holding and transaction costs. The holding cost is incurred at all times at the rate modeled by a convex function of the state. Transactions costs have both a fixed component and a...

Most academic studies on interest rate dynamics and derivative pricing assume that interest rates move freely in an open market, while there has been relatively little attention paid to the situation where a nation's central bank has the power to intervene in the interest rate market. This paper...