Related papers: Ergodic inventory control with diffusion demand an…
We study the infinite horizon optimal control problem for N-network queueing systems, which consist of two customer classes and two server pools, under average (ergodic) criteria in the Halfin-Whitt regime. We consider three control…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
Inventory control is subject to service-level requirements, in which sufficient stock levels must be maintained despite an unknown demand. We propose a data-driven order policy that certifies any prescribed service level under minimal…
We study the classical single-item inventory system in which unsatisfied demands are backlogged. Replenishment lead times are random, independent identically distributed, causing orders to cross in time. We develop a new inventory policy to…
Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…
We research adaptive maximum likelihood-type estimation for an ergodic diffusion process where the observation is contaminated by noise. This methodology leads to the asymptotic independence of the estimators for the variance of observation…
This paper describes the structure of optimal policies for discounted periodic-review single-commodity total-cost inventory control problems with fixed ordering costs for finite and infinite horizons. There are known conditions in the…
We study how an e-commerce firm should make real-time fulfillment decisions in a two-layer distribution network when multi-item customer orders arrive sequentially and future demand is unknown. The central managerial tension is whether to…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
In this paper we investigate a dynamic pricing model for constant demand elasticity where customers have a probability distribution on the number of items they order. This is a generalization from standard models which restrict customers to…
We consider the problem of estimating the joint distribution of a continuous-time perpetuity and the underlying factors which govern the cash flow rate, in an ergodic Markov model. Two approaches are used to obtain the distribution. The…
Small-to-medium size enterprises (SMEs), including many startup firms, need to manage interrelated flows of cash and inventories of goods. In this paper, we model a firm that can finance its inventory (ordered or manufactured) with loans in…
We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical…
We consider the question of estimating the drift and the invariant density for a large class of scalar ergodic diffusion processes, based on continuous observations, in $\sup$-norm loss. The unknown drift $b$ is supposed to belong to a…
We study an online dynamic pricing problem where the potential demand at each time period $t=1,2,\ldots, T$ is stochastic and dependent on the price. However, a perishable inventory is imposed at the beginning of each time $t$, censoring…
We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…
We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the expected discounted value of the withdrawals until the…
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
Adapting pretrained diffusion models to downstream objectives such as inverse problems often requires expensive test-time guidance or optimization. We propose a principled framework for generating high-quality reward-aligned samples at…