Direct solution of Riccati equation arising in inventory production control in a Stochastic manufacturing system

Baten M. A., KAMIL A. A.

International Journal of Physical Sciences, vol.5, no.7, pp.931-934, 2010 (SCI-Expanded) identifier

  • Publication Type: Article / Article
  • Volume: 5 Issue: 7
  • Publication Date: 2010
  • Journal Name: International Journal of Physical Sciences
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.931-934
  • Keywords: Inventory production models, Manufacturing systems, Stochastic differential equations
  • Istanbul Gelisim University Affiliated: No

Abstract

We studied the production inventory problem in a manufacturing system with degenerate Stochastic demand. We derived the dynamics of inventory-demand ratio that evolves according to Stochastic neoclassical differential equation through Ito's Lemma. We established the Riccati based solution of the Hamilton- Jacobi-Bellman (HJB) equation associated with this problem. © 2010 Academic Journals.