Related papers: Joint pricing and inventory control for a stochast…
Mathematically, the execution of an American-style financial derivative is commonly reduced to solving an optimal stopping problem. Breaking the general assumption that the knowledge of the holder is restricted to the price history of the…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
We study an online learning problem on dynamic pricing and resource allocation, where we make joint pricing and inventory decisions to maximize the overall net profit. We consider the stochastic dependence of demands on the price, which…
This paper implements the Deep Deterministic Policy Gradient (DDPG) algorithm for computing optimal policies for partially observable single-product periodic review inventory control problems with setup costs and backorders. The decision…
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2. We apply an anticipative Girsanov transformation to transform the system into another one, driven only by…
A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commodity's spot price evolves either as a drifted Brownian motion or…
We study the canonical periodic review lost sales inventory system with positive leadtime and independent and identically distributed (i.i.d.) demand under the average cost criterion. We demonstrate that the relative value function under…
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…
We consider a fundamental pricing model in which a fixed number of units of a reusable resource are used to serve customers. Customers arrive to the system according to a stochastic process and upon arrival decide whether or not to purchase…
Following the recent resurgence in establishing linear control theoretic benchmarks for reinforcement leaning (RL)-based policy optimization (PO) for complex dynamical systems with continuous state and action spaces, an optimal control…
We present an online stochastic model predictive control framework for demand charge management for a grid-connected consumer with attached electrical energy storage. The consumer we consider must satisfy an inflexible but stochastic…
In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…
In this paper, we present a simple microeconomic model with linear continuous-time dynamics that describes a production-inventory system with debt repayment. This model is formulated in terms of optimal control and its exact solutions are…
We consider a feature-based personalized pricing problem in which the buyer is strategic: given the seller's pricing policy, the buyer can augment the features that they reveal to the seller to obtain a low price for the product. We model…
We consider a problem of an optimal consumption strategy on the infinite time horizon when the short-rate is a diffusion process. General existence and uniqueness theorem is illustrated by the Vasicek and so-called invariant interval…
This work is motivated by our collaboration with a large consumer packaged goods (CPG) company. We have found that while the company appreciates the advantages of dynamic pricing, they deem it operationally much easier to plan out a static…
We consider an investor who is dynamically informed about the future evolution of one of the independent Brownian motions driving a stock's price fluctuations. With linear temporary price impact the resulting optimal investment problem with…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
We propose a new approach to utilities that is consistent with state-dependent utilities. In our model utilities reflect the level of consumption satisfaction of flows of cash in future times as they are valued when the economic agents are…