Related papers: L\'evy processes in storage and inventory problems
For thermostatted dissipative systems the Fluctuation Theorem gives an analytical expression for the ratio of probabilities that the time averaged entropy production in a finite system observed for a finite time, takes on a specified value…
We revisit an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex.…
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characterizations of quasi self-duality for exponential L\'evy processes…
A goal of data assimilation is to infer stochastic dynamical behaviors with available observations. We consider transition phenomena between metastable states for a stochastic system with (non-Gaussian) $\alpha-$stable L\'evy noise. With…
We build on a previous statistical model for distributed systems and formulate it in a way that the deterministic and stochastic processes within the system are clearly separable. We show how internal fluctuations can be analysed in a…
We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional L\'evy process. We set up a valuation model in…
Many real-world systems exhibit ``noisy'' evolution in time; interpreting their finitely-sampled behavior as arising from continuous-time processes (in the It\^o or Stratonovich sense) has led to significant success in modeling and analysis…
Resistive switching is one of the foremost candidates for building novel types of non-volatile random access memories. Any practical implementation of such a memory cell calls for a strong miniaturization, at which point fluctuations start…
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…
We investigate the potential added value of being able to relocate production capacity, relative to fixed production capacity, in a network of multiple, geographically distributed manufacturing sites. There is a growing interest in…
In this paper we consider an interacting particle system in $\mathbb{R}^d$ modelled as a system of $N$ stochastic differential equations driven by L\'evy processes. The limiting behaviour as the size $N$ grows to infinity is achieved as a…
This paper presents a data-driven methodology to estimate the storage function of a passive system. The methodology consists in parametrizing the storage function with a dictionary then running a linear program. Results on a benchmark are…
We approximate stochastic processes in finite dimension by dynamical systems. We provide trajectorial estimates which are uniform with respect to the initial condition for a well chosen distance. This relies on some non-expansivity property…
We consider a general class of high-volume, fast-moving production-inventory systems based on both lost-sales and backorder inventory models. Such systems require a fundamental understanding of the asymptotic behavior of key performance…
We study non-stationary single-item, periodic-review inventory control problems in which the demand distribution is unknown and may change over time. We analyze how demand non-stationarity affects learning performance across inventory…
We present a methodology for determining the relationship between the optimal control points of a power storage facility and a number of different factors including storage level and temperature. The interaction between different factors is…
The first passage time process of a L\'evy subordinator with heavy-tailed L\'evy measure has long-range dependent paths. The random fluctuations that appear under two natural schemes of summation and time scaling of such stochastic…
While entropy changes are the usual subject of fluctuation theorems, we seek fluctuation relations involving time-symmetric quantities, namely observables that do not change sign if the trajectories are observed backward in time. We find…
The stochastic motion in a nonhomogeneous medium with traps is studied and diffusion properties of that system are discussed. The particle is subjected to a stochastic stimulation obeying a general L\'evy stable statistics and experiences…
We derive various exact results for Markovian systems that spontaneously relax to a non-equilibrium steady-state by using joint probability distributions symmetries of different entropy production decompositions. The analytical approach is…