Related papers: Inventory Accumulation with $k$ Products

We define and prove the existence of a fractional Brownian motion indexed by a collection of closed subsets of a measure space. This process is a generalization of the set-indexed Brownian motion, when the condition of independance is…

We investigate stochastic processes that generalize geometric Brownian motion, focusing on cases where the standard invariant measure, i.e. the solution of the stationary Fokker-Planck equation does not necessarily exist. We demonstrate…

A simple way to model phenotypic evolution is to assume that after splitting, the trait values of the sister species diverge as independent Brownian motions. Relying only on a prior distribution for the underlying species tree (conditioned…

We characterize the asymptotic behaviour of the weighted power variation processes associated with iterated Brownian motion. We prove weak convergence results in the sense of finite dimensional distributions, and show that the laws of the…

Two deterministic models for Brownian motion are investigated by means of numerical simulations and kinetic theory arguments. The first model consists of a heavy hard disk immersed in a rarefied gas of smaller and lighter hard disks acting…

In the context of time-subordinated Brownian motion models, Fourier theory and methodology are proposed to modelling the stochastic distribution of time increments. Gaussian Variance-Mean mixtures and time-subordinated models are reviewed…

We present the new combinatorial class of product-coproduct prographs which are planar assemblies of two types of operators: products having two inputs and a single output and coproducts having a single input and two outputs. We show that…

We consider the problem of analyzing multivariate time series collected on multiple subjects, with the goal of identifying groups of subjects exhibiting similar trends in their recorded measurements over time as well as time-varying groups…

We study three classes of continuous time Markov processes (inclusion process, exclusion process, independent walkers) and a family of interacting diffusions (Brownian energy process). For each model we define a boundary driven process…

Strong approximations of uniform transport processes to the standard Brownian motion rely on the Skorokhod embedding of random walk with centered double exponential increments. In this note we make such an embedding explicit by means of a…

Assemble-to-order approaches deal with randomness in demand for end items by producing components under uncertainty, but assembling them only after demand is observed. Such planning problems can be tackled by stochastic programming, but…

This article introduces a novel construction of the two-dimensional fractional Brownian motion (2D fBm) with dependent components. Unlike similar models discussed in the literature, our approach uniquely accommodates the full range of model…

We analyse q-functional equations arising from tree-like combinatorial structures, which are counted by size, internal path length, and certain generalisations thereof. The corresponding counting parameters are labelled by a positive…

We propose discrete random-field models that are based on random partitions of $\mathbb{N}^2$. The covariance structure of each random field is determined by the underlying random partition. Functional central limit theorems are established…

Consider a time-varying collection of n points on the positive real axis, modeled as exponentials of n Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. If…

This paper establishes a non-stochastic analogue of the celebrated result by Dubins and Schwarz about reduction of continuous martingales to Brownian motion via time change. We consider an idealized financial security with continuous price…

We propose and investigate a simple model which describes the kinetics of aggregation of Brownian particles with stochastic self-replication. An exact solution and the scaling theory are presented alongside numerical simulation which fully…

This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…

We show how to build an immersion coupling of a two-dimensional Brownian motion $(W_1, W_2)$ along with $\binom{n}{2} + n= \tfrac12n(n+1)$ integrals of the form $\int W_1^iW_2^j \circ dW_2$, where $j=1,\ldots,n$ and $i=0, \ldots, n-j$ for…

Demand forecasting plays an important role in many inventory control problems. To mitigate the potential harms of model misspecification, various forms of distributionally robust optimization have been applied. Although many of these…