期刊
MATHEMATICS
卷 11, 期 20, 页码 -出版社
MDPI
DOI: 10.3390/math11204307
关键词
production planning; regime switching; PDE system
类别
This article focuses on a stochastic production planning problem with regime switching, aiming to minimize production costs through the value function approach. The main contribution is the identification of an exact solution of an elliptic system of partial differential equations that characterizes the optimal production. A verification result is provided for the determined solution.
We consider a stochastic production planning problem with regime switching. There are k >= 1 regimes corresponding to different economic cycles. The problem is to minimize the production costs and analyze the problem by the value function approach. Our main contribution is to show that the optimal production is characterized by an exact solution of an elliptic system of partial differential equations. A verification result is given for the determined solution.
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