Related papers: L\'evy processes in storage and inventory problems
A new method is proposed to numerically extract the diffusivity of a (typically nonlinear) diffusion equation from underlying stochastic particle systems. The proposed strategy requires the system to be in local equilibrium and have…
We study a queueing network with a strictly upper-triangular routing matrix, where each column contains at most one non-negative entry, and the root node receives input from a spectrally positive L\'{e}vy process. Our aim is to characterize…
Quantifying the irreversibility and dissipation of non-equilibrium processes is crucial to understanding their behavior, assessing their possible capabilities, and characterizing their efficiency. We introduce a physical quantity that…
In this paper, we propose a continuous time model for a multi-echelon inventory system. Items in the inventory are deteriorating. Lateral transshipment are allowed among the warehouses in the same echelon where transshipment rate depends on…
In this article, we investigate a dynamic control problem of a production-inventory system. Here, demands arrive at the production unit according to a Poisson process and are processed in an FCFS manner. The processing time of the…
Flowgraph models provide an alternative approach in modeling a multi-state stochastic process. One of the most widely used stochastic processes that have many real-world applications especially in actuarial models is the Markov jump process…
We study the relation between flow structure and fluid deformation in steady two-dimensional random flows. Beyond the linear (shear flow) and exponential (chaotic flow) elongation paradigms, we find a broad spectrum of stretching behaviors,…
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To this end, we begin by characterizing the optimal operating…
Multistable L\'evy motions are extensions of L\'evy motions where the stability index is allowed to vary in time. Several constructions of these processes have been introduced recently, based on Poisson and Ferguson-Klass-LePage series…
We consider a wide class of linear stochastic problems driven off the equilibrium by a multiplicative asymmetric force. The force brakes detailed balance, maintained otherwise, thus producing entropy. The large deviation function of the…
In this article, we employ a collection of stochastic differential equations with drift and diffusion coefficients approximated by neural networks to predict the trend of chaotic time series which has big jump properties. Our contributions…
Scaling properties of time series are usually studied in terms of the scaling laws of empirical moments, which are the time average estimates of moments of the dynamic variable. Nonlinearities in the scaling function of empirical moments…
A standard approach to analysis of noise-induced effects in stochastic dynamics assumes a Gaussian character of the noise term describing interaction of the analyzed system with its complex surroundings. An additional assumption about the…
Fluctuation properties of the Langevin equation including a multiplicative, power-law noise and a quadratic potential are discussed. The noise has the Levy stable distribution. If this distribution is truncated, the covariance can be…
This letter introduces a method to manage energy storage in electricity grids. Starting from the stochastic characterization of electricity generation and demand, we propose an equation that relates the storage level for every time-step as…
Supply chain optimization schemes have more often than not underplayed the role of inherent stochastic fluctuations in the associated variables. The present article focuses on the associated reengagement and correlated renormalization of…
In this paper we study the mean of the first exit time from a bounded interval of various L\'evy processes. We establish sharp two-sided estimates of the mean for L\'evy processes under certain condition on their characteristic exponents.…
In this paper we study a queue with L\'evy input, without imposing any a priori assumption on the jumps being one-sided. The focus is on computing the transforms of all sorts of quantities related to the transient workload, assuming the…
Systems with interacting degrees of freedom play a prominent role in stochastic thermodynamics. Our aim is to use the concept of detached path probabilities and detached entropy production for bipartite Markov processes and elaborate on a…
In the recent paper \cite{Ng5} we have introduced a method of studying the multi-dimensional Kingman convolutions and their associated stochastic processes by embedding them into some multi-dimensional ordinary convolutions which allows to…