Related papers: Inventory Control Using a L\'evy Process for Evalu…

This paper deals with the long run average continuous control problem of piecewise deterministic Markov processes (PDMP's) taking values in a general Borel space and with compact action space depending on the state variable. The control…

In this paper we consider a ring of $N\ge 1$ queues served by a single server in a cyclic order. After having served a queue (according to a service discipline that may vary from queue to queue), there is a switch-over period and then the…

In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…

The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes,…

This paper addresses the problem of managing perishable inventory under multiple sources of uncertainty, including stochastic demand, unreliable supplier fulfillment, and probabilistic product shelf life. We develop a discrete-event…

Managing perishable products with limited lifetimes is a fundamental challenge in inventory management, as poor ordering decisions can quickly lead to stockouts or excessive waste. We study a perishable inventory system with random lead…

We present a new microscopic stochastic model for an ensemble of interacting investors that buy and sell stocks in discrete time steps via limit orders based on individual forecasts about the price of the stock. These orders determine the…

Inverse optimal control can be used to characterize behavior in sequential decision-making tasks. Most existing work, however, is limited to fully observable or linear systems, or requires the action signals to be known. Here, we introduce…

Prediction markets are often described as mechanisms that ``aggregate information'' into prices, yet the mapping from dispersed private information to observed market histories is typically noisy, endogenous, and shaped by heterogeneous and…

We consider a periodical equilibrium pricing problem for multiple firms over a planning horizon of T periods. At each period, firms set their selling prices and receive stochastic demand from consumers. Firms do not know their underlying…

We study the cyclic inventory routing problem that involves joint decisions on vehicle routing and inventory replenishment on an infinite, cyclic horizon. It considers a single warehouse and a set of geographically dispersed retailers. We…

This paper establishes conditions for optimality of an $(s,S)$ ordering policy for the minimization of the long-term average cost of one-dimensional diffusion inventory models. The class of such models under consideration have general drift…

Probabilistic intraday electricity price forecasting is becoming increasingly important for short-term power-system operation. With increasing renewable generation, demand-side flexibility, and storage assets, market participants need to…

We introduce the Lyapunov approach to optimal control problems of average risk-sensitive Markov control processes with general risk maps. Motivated by applications in particular to behavioral economics, we consider possibly non-convex risk…

A re-entrant manufacturing system producing a large number of items and involving many steps can be approximately modeled by a hyperbolic partial differential equation (PDE) according to mass conservation law with respect to a continuous…

We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential L\'evy models driven by one-sided stable or tempered stable processes. Pricing formulas take…

Pure-jump L\'evy processes are popular classes of stochastic processes which have found many applications in finance, statistics or machine learning. In this paper, we propose a novel family of self-decomposable L\'evy processes where one…

We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…

We consider a general queueing system with price-sensitive customers in which the service provider seeks to balance two objectives, maximizing the average revenue rate and minimizing the average queue length. Customers arrive according to a…

We consider a retailer selling a single product with limited on-hand inventory over a finite selling season. Customer demand arrives according to a Poisson process, the rate of which is influenced by a single action taken by the retailer…