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arXiv · 2002.09724

Stochastic production planning with regime switching

Elena Cristina Canepa·Dragos-Patru Covei·Traian A. Pirvu
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Abstract

This paper considers a stochastic production planning problem with regime switching. There are two regimes corresponding to different economic cycles. A factory is planning its production so as to minimize production costs. We analyze this problem through the value function approach. The optimal production is characterized through the solution of an elliptic system of partial differential equations which is shown to have a solution.

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Elena Cristina Canepa, Dragos-Patru Covei, Traian A. Pirvu. 2020-02-22. Stochastic production planning with regime switching. https://arxiv.org/abs/2002.09724

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