Related papers: Inventory Control Using a L\'evy Process for Evalu…
In this paper we present some limit theorems for power variation of L\'evy semi-stationary processes in the setting of infill asymptotics. L\'evy semi-stationary processes, which are a one-dimensional analogue of ambit fields, are moving…
This article introduces an advanced analytical approach for predicting backorders in inventory management. Backorder refers to an order that cannot be immediately fulfilled due to stock depletion. Multiple classification techniques,…
This paper extends the single-item single-stocking location non-stationary stochastic inventory problem to relax the assumption of independent demand. We present a mathematical programming-based solution method that relaxes the assumption…
We study analytically an intermittent search process in one dimension. There is an immobile target at the origin and a searcher undergoes a discrete time jump process starting at $x_0\geq0$, where successive jumps are drawn independently…
Supply chain management is an integrated approach for planning and controlling materials, information, and finances as they move in a process which begins from suppliers and ends with customers in forward approach. As distribution network…
In the present paper, we obtain an explicit product formula for products of multiple integrals w.r.t. a random measure associated with a L\'evy process. As a building block, we use a representation formula for products of martingales from a…
Lost sales inventory models with large lead times, which arise in many practical settings, are notoriously difficult to optimize due to the curse of dimensionality. In this paper we show that when lead times are large, a very simple…
We consider the problem of determining the L\'evy exponent in a L\'evy model for asset prices given the price data of derivatives. The model, formulated under the real-world measure $\mathbb P$, consists of a pricing kernel…
Inventory planning for retail chains requires translating demand forecasts into ordering decisions, including asymmetric shortages and holding costs. The VN2 Inventory Planning Challenge formalizes this setting as a weekly decision-making…
Inventory management is a fundamental challenge in supply chain management. The challenge is compounded when the associated products have unpredictable demands. This study proposes an innovative optimization approach combining…
We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional L\'evy process. We set up a valuation model in…
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…
A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of bid…
In many random search processes of interest in chemistry, biology or during rescue operations, an entity must find a specific target site before the latter becomes inactive, no longer available for reaction or lost. We present exact results…
Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…
L\'evy processes, known for their ability to model complex dynamics with skewness, heavy tails and discontinuities, play a critical role in stochastic modeling across various domains. However, inference for most L\'evy processes, whether in…
We consider high-frequency sampled continuous-time autoregressive moving average (CARMA) models driven by finite-variance zero-mean L\'evy processes. An L^2-consistent estimator for the increments of the driving L\'evy process without order…
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…
Exponential L\'evy processes have been used for modelling financial derivatives because of their ability to exhibit many empirical features of markets. Using their multidimensional analogue, a general analytic pricing formula is obtained,…
L\'evy processes are widely used in financial mathematics to model return data. Price processes are then defined as a corresponding geometric L\'evy process, implying the fact that returns are independent. In this paper we propose an…