Related papers: Inventory Accumulation with $k$ Products
For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, we recover its transition density and study its long-time…
We consider a stochastic volatility model with jumps where the underlying asset price is driven by the process sum of a 2-dimensional Brownian motion and a 2-dimensional compensated Poisson process. The market is incomplete, resulting in…
We propose some class of statistics suitable for estimation of the Hurst index of the fractional Brownian motion based on the second order increments of an observed discrete trajectory.
We consider a family of hard core objects moving as independent Brownian motions confined to a vessel by reflection. These are subject to gravitational forces modeled by drifts. The stationary distribution for the process has many…
It is well-known (see Dvoretzky, Erd{\H o}s and Kakutani [8] and Le Gall [12]) that a planar Brownian motion $(B_t)_{t\ge 0}$ has points of infinite multiplicity, and these points form a dense set on the range. Our main result is the…
In this paper, we consider a two-dimensional sticky Brownian motion. Sticky Brownian motions can be viewed as time-changed semimartingale reflecting Brownian motions, which find applications in many areas including queueing theory and…
Noncrossing set partitions, nonnesting set partitions, Dyck paths, and rooted plane trees are four classes of Catalan objects which carry a notion of type. There exists a product formula which enumerates these objects according to type. We…
In the first paper of this series, I investigated whether a wavefunction model of a heavy particle and a collection of light particles might generate "Brownian-Motion-Like" trajectories of the heavy particle. I concluded that it was…
This paper establishes connection between discrete cosine transform (DCT) and 1st and 2nd order discrete-time fractional Brownian motion process. It is proved that the eigenvectors of the auto-covariance matrix of a 1st and 2nd order…
We offer an alternative viewpoint on Dyson's original paper regarding the application of Brownian motion to random matrix theory (RMT). In particular we show how one may use the same approach in order to study the stochastic motion in the…
We study the persistence probability for processes with stationary increments. Our results apply to a number of examples: sums of stationary correlated random variables whose scaling limit is fractional Brownian motion, random walks in…
We examine the covariant properties of generalized models of two-field inflation, with non-canonical kinetic terms and a possibly non-trivial field metric. We demonstrate that kinetic-term derivatives and covariant field derivatives do…
Recently, Hammond and Sheffield introduced a model of correlated random walks that scale to fractional Brownian motions with long-range dependence. In this paper, we consider a natural generalization of this model to dimension $d\geq 2$. We…
In this paper a simple model for the evolution of the forward density of the future value of an asset is proposed. The model allows for a straightforward initial calibration to option prices and has dynamics that are consistent with…
We apply the version of P\'{o}lya-Redfield theory obtained by White to count patterns with a given automorphism group to the enumeration of strong dichotomy patterns, that is, we count bicolor patterns of $\mathbb{Z}_{2k}$ with respect to…
We establish a correspondence between the evolution of the distribution of eigenvalues of a $N\times N$ matrix subject to a random Gaussian perturbing matrix, and a Fokker-Planck equation postulated by Dyson. Within this model, we prove the…
Inventory models with imperfect quality items are studied by researchers in past two decades. Till now none of them have considered the effect of substitutions to cope up with shortage and avoid lost sales. This paper presents an EOQ…
We consider a stochastic volatility model where the dynamics of the volatility are given by a possibly infinite linear combination of the elements of the time extended signature of a Brownian motion. First, we show that the model is…
In this article, we consider a continuous review (s, S) inventory system with failures of demand fulfillment (service) modeled as a Markov-modulated retrial queueing system. The inventory system features a single product that experiences…
This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade. One multiplicatively…