Related papers: Inventory Control Using a L\'evy Process for Evalu…
We consider the problem of forecasting the aggregate demand of a pool of price-responsive consumers of electricity. The price-response of the aggregation is modeled by an optimization problem that is characterized by a set of marginal…
We consider the parametric estimation of the driving L\'evy process of a multivariate continuous-time autoregressive moving average (MCARMA) process, which is observed on the discrete time grid $(0,h,2h,...)$. Beginning with a new state…
In the present work, a novel second-order approximation for ATM option prices is derived for a large class of exponential L\'{e}vy models with or without Brownian component. The results hereafter shed new light on the connection between…
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves…
The assortment problem in revenue management is the problem of deciding which subset of products to offer to consumers in order to maximise revenue. A simple and natural strategy is to select the best assortment out of all those that are…
This study addresses the difficulties associated with inventory management of products with stochastic demand. The objective is to find the optimal combination of order quantity and reorder point that maximizes profit while considering…
Inventory management in warehouses directly affects profits made by manufacturers. Particularly, large manufacturers produce a very large variety of products that are handled by a significantly large number of retailers. In such a case, the…
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be…
The {\alpha}-stable L\'evy process, commonly used to describe L\'evy flight, is characterized by discontinuous jumps and is widely used to model anomalous transport phenomena. In this study, we investigate the associated exit problem and…
There has been growing interest in applying reinforcement learning (RL) to inventory management, either by optimizing over temporal transitions or by learning directly from full historical demand trajectories. This contrasts sharply with…
We construct a general stochastic process and prove weak convergence results. It is scaled in space and through the parameters of its distribution. We show that our simplified scaling is equivalent to time scaling used frequently. The…
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 study multi-product inventory control problems where a manager makes sequential replenishment decisions based on partial historical information in order to minimize its cumulative losses. Our motivation is to consider general demands,…
This work is motivated by our collaboration with a large consumer packaged goods (CPG) company. We have found that while the company appreciates the advantages of dynamic pricing, they deem it operationally much easier to plan out a static…
The rise of big data analytics has automated the decision-making of companies and increased supply chain agility. In this paper, we study the supply chain contract design problem faced by a data-driven supplier who needs to respond to the…
In their seminal paper Moseley, Niaparast, and Ravi introduced the Joint Replenishment Problem (JRP) with holding and backlog costs that models the trade-off between ordering costs, holding costs, and backlog costs in supply chain planning…
This paper deals with a problem of production planning, which is a version of the capacitated single-item lot sizing problem with backordering under demand uncertainty, modeled by uncertain cumulative demands. The well-known interval…
This paper addresses the two-stocking locations single item non-stationary stochastic lot-sizing problem. The inventory level at each location is reviewed periodically. Items can be reordered and received from a common central warehouse and…
The problem of appropriately matching items subject to compatibility constraints arises in a number of important applications. While most of the literature on matching theory focuses on a static setting with a fixed number of items, several…
The measure of the bullwhip effect, a phenomenon in which demand variability increases as one moves up the supply chain, is a major issue in Supply Chain Management. Although it is simply defined (it is the ratio of the unconditional…