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

Uncertainties in core quality condition, return quantity and timing can propagate and accumulate in process cost and complicate cost assessments. However, regardless of cost assessment complexities, accurate cost models are required for…

We consider a manufacturer who manages the end-of-life phase and takes one of the three actions at each period: (1) place an order, (2) use existing inventory, (3) stop holding inventory and use an outside/alternative source. Two examples…

Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…

We develop at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a class of asset-price models whose log returns follow a L\'evy process. Under mild assumptions placing the driving L\'evy process in…

The demand for a particular product or service is typically associated with different uncertainties that can make them volatile and challenging to predict. Demand unpredictability is one of the managers' concerns in the supply chain that…

We develop a stochastic inventory system which accounts for the limited patience of backlogged customers. While limited patience is a feature that is closer to the nature of unmet demand, our model also unifies the classic backlogging and…

We present an optimal control approach to the problem of model calibration for L\'evy processes based on a non parametric estimation procedure. The calibration problem is of considerable interest in mathematical finance and beyond.…

We introduce a novel strategy to address the issue of demand estimation in single-item single-period stochastic inventory optimisation problems. Our strategy analytically combines confidence interval analysis and inventory optimisation. We…

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 consider the pricing of options on interest rates such as caplets and swaptions in the L\'evy Libor model developed by Eberlein and \"Ozkan (2005). This model is an extension to L\'evy driving processes of the classical…

We propose an efficient method of finding an optimal solution for a multi-item continuous review inventory model in which a bivariate Gaussian probability distribution represents a correlation between the demands of different items. By…

We consider a single-echelon inventory system under periodic review with two suppliers facing stochastic demand, where excess demand is backlogged. The expedited supplier has a shorter lead time than the regular supplier but charges a…

Intermittent demand, where demand occurrences appear sporadically in time, is a common and challenging problem in forecasting. In this paper, we first make the connections between renewal processes, and a collection of current models used…

We develop the equilibrium equations for the a model generalizing the continuous review (r, q) lost-sales model with constant lead time, multiple outstanding orders and unit Poisson demand. Demand rate is allowed to depend on inventory…

This article deals with asynchronous server vacation and customer retrial facility in a multi-server queueing-inventory system. The Poisson process governs the arrival of a customer. The system is comprised of c identical servers, a…

We revisit an absolutely-continuous version of the stochastic control problem driven by a L\'evy process. A strategy must be absolutely continuous with respect to the Lebesgue measure and the running cost function is assumed to be convex.…

These lectures notes aim at introducing L\'{e}vy processes in an informal and intuitive way, accessible to non-specialists in the field. In the first part, we focus on the theory of L\'{e}vy processes. We analyze a `toy' example of a…

Uncertainty in demand and supply conditions poses critical challenges to effective inventory management, especially in collaborative environments. Traditional inventory models, such as those based on the Economic Order Quantity (EOQ), often…

A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted bid and ask spreads with random coefficients, we model the…

We consider a repeated newsvendor problem where the inventory manager has no prior information about the demand, and can access only censored/sales data. In analogy to multi-armed bandit problems, the manager needs to simultaneously…