Liquidity modelling

What does happen in a dynamic environment? The state equation is

yt+ 1 =(yt+vDt)+, y 0 =x,

wherevis the control variable giving the amount of liquid resources

ordered at timetandDnis the random demand at timetandxis the

starting value of the liquid resource.

l(x,v) $ cv+hx+p
E



(D(x+v))+



=

= cv+hx+p

Z∞

x+v

(z(x+v))dF(z)



.

J(x,V) =

∞

∑

n= 0

βnl(yn,vn).