Related papers: Joint pricing and inventory control for a stochast…
In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…
We consider a network inventory system motivated by one-way, on-demand vehicle sharing services. Under uncertain and correlated network demand, the service operator periodically repositions vehicles to match a fixed supply with spatial…
The model of this paper gives a convenient strategy that a bank in the federal funds market can use in order to maximize its profit in a contemporaneous reserve requirement (CRR) regime. The reserve requirements are determined by the demand…
Solutions to address the periodic review inventory control problem with nonstationary random demand, lost sales, and stochastic vendor lead times typically involve making strong assumptions on the dynamics for either approximation or…
This paper studies a continuous-review backlogged inventory model considered by Helmes et al. (2015) but with discontinuous quantity-dependent setup cost for each order. In particular, the setup cost is characterized by a two-step function…
This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving optimal stopping strategies that depend on the current…
We consider a version of the stochastic inventory control problem for a spectrally positive L\'evy demand process, in which the inventory can only be replenished at independent exponential times. We show the optimality of a periodic barrier…
This paper extends the single-item single-stocking location non-stationary stochastic inventory problem to relax the assumption of independent demand. We present a mathematical programming-based solution method that relaxes the assumption…
We consider the problem of planning the aggregate energy consumption for a set of thermostatically controlled loads for demand response, accounting price forecast trajectory and thermal comfort constraints. We address this as a…
We consider a limit order book, where buyers and sellers register to trade a security at specific prices. The largest price buyers on the book are willing to offer is called the market bid price, and the smallest price sellers on the book…
Price determination is a central research topic of revenue management in marketing. The important aspect in pricing is controlling the stochastic behavior of demand, and the previous studies have tackled price optimization problems with…
Goods can exhibit positive externalities impacting decisions of customers in socials networks. Suppliers can integrate these externalities in their pricing strategies to increase their revenue. Besides optimizing the prize, suppliers also…
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…
Supply Chain operation is an integrated business process starting from primary supplier to end user and the process produce products, services and information. A successful chain will explore technology, lean operations, and quality…
In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…
We consider an economic agent (a household or an insurance company) modelling its surplus process by a deterministic process or by a Brownian motion with drift. The goal is to maximise the expected discounted spendings/dividend payments,…
In this paper we study the single-item revenue management problem, with no information given about the demand trajectory over time. When the item is sold through accepting/rejecting different fare classes, Ball and Queyranne (2009) have…
We consider a Markovian single server queue with impatient customers. There is a customer abandonment cost and a holding cost for customers in the system. We consider two versions of the problem. In the first version, customers pay a reward…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…
The stochastic knapsack has been used as a model in wide ranging applications from dynamic resource allocation to admission control in telecommunication. In recent years, a variation of the model has become a basic tool in studying problems…