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We consider a service system with two Poisson arrival queues. A server chooses which queue to serve at each moment. Once a queue is served, all the customers will be served within a fixed amount of time. This model is useful in studying…

Motivated by applications from gig economy and online marketplaces, we study a two-sided queueing system under joint pricing and matching controls. The queueing system is modeled by a bipartite graph, where the vertices represent customer…

A two-sided matching system is considered, where servers are assumed to arrive at a fixed rate, while the arrival rate of customers is modulated via a price-control mechanism. We analyse a loss model, wherein customers who are not served…

We study the sojourn time in a queueing system with a single exponential server, serving a Poisson stream of customers in order of arrival. Service is provided at low or high rate, which can be adapted at exponential inspection times. When…

In modern e-commerce and service operations, firms must jointly manage inventory replenishment and real-time order fulfillment to maximize profit under demand uncertainty. While each component has been studied extensively in isolation,…

Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…

In this paper, we study the offline sequential feature-based pricing and inventory control problem where the current demand depends on the past demand levels and any demand exceeding the available inventory is lost. Our goal is to leverage…

We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…

We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…

When planning transportation whose operation requires non-consumable resources, the peak demand for allocated resources is often of higher interest than the duration of resource usage. For instance, it is more cost-effective to deliver…

We study the problem of the execution of a moderate size order in an illiquid market within the framework of a solvable Markovian model. We suppose that in order to avoid impact costs, a trader decides to execute her order through a unique…

Financial markets are often modelled as if time were unique and continuous across assets and markets. Financial markets are however asynchronous, order flow is event-driven, and waiting times between events are often random. Many of the…

We consider the revenue management problem of finding profit-maximising prices for delivery time slots in the context of attended home delivery. This multi-stage optimal control problem admits a dynamic programming formulation that is…

We study merchant energy production modeled as a compound switching and timing option. The resulting Markov decision process is intractable. State-of-the-art approximate dynamic programming methods applied to realistic instances of this…

We study the optimal pricing strategy of a monopolist selling homogeneous goods to customers over multiple periods. The customers choose their time of purchase to maximize their payoff that depends on their valuation of the product, the…

We study the problem of scheduling periodic real-time tasks so as to meet their individual minimum reward requirements. A task generates jobs that can be given arbitrary service times before their deadlines. A task then obtains rewards…

Caching is an effective mechanism for reducing bandwidth usage and alleviating server load. However, the use of caching entails a compromise between content freshness and refresh cost. An excessive refresh allows a high degree of content…

Minimizing execution costs for large orders is a fundamental challenge in finance. Firms often depend on brokers to manage their trades due to limited internal resources for optimizing trading strategies. This paper presents a methodology…

We study the market design of keep-alive caching policies applicable in serverless computing. Prior work has assumed that the cost of a cache miss (cold start) is uniform across all customer applications. However, the cost of a cache miss…