Related papers: An Inventory System with Two Supply Modes and L\'e…
Motivated by a capacity allocation problem within a finite planning period, we conduct a transient analysis of a single-server queue with L\'evy input. From a cost minimization perspective, we investigate the error induced by using…
This paper proposes a novel inventory management model for the replenishment strategy of a satellite mega-constellation incorporating dual supply modes: normal and auxiliary. The proposed framework employs an indirect channel for normal…
Optimal maintenance policies play an important role in the reliability analysis of repairable systems. This paper examines a two-unit priority standby system with a repair facility, where the priority unit is subject to preventive…
We consider controlling the paths of a spectrally negative L\'evy process by two means: the subtraction of `taxes' when the process is at an all-time maximum, and the addition of `bailouts' which keep the value of the process above zero. We…
In this work, we consider a continuous-time inventory system where the demand process follows an inventory-dependent diffusion process. The ordering cost of each order depends on the order quantity and is given by a general function, which…
In this paper we complete and extend our previous work on stochastic control applied to high frequency market-making with inventory constraints and directional bets. Our new model admits several state variables (e.g. market spread,…
In this paper, we study optimal control problems for multiclass GI/M/n+M queues in an alternating renewal (up-down) random environment in the Halfin-Whitt regime. Assuming that the downtimes are asymptotically negligible and only the…
An overview of the recursive equations based models and their applications in simulation based analysis and optimization of queueing systems is given. These models provide a variety of systems with a convenient and unified representation in…
We consider a multiproduct monopoly pricing model. We provide sufficient conditions under which the optimal mechanism can be implemented via upgrade pricing -- a menu of product bundles that are nested in the strong set order. Our approach…
We present a numerical scheme to calculate fluctuation identities for exponential L\'evy processes in the continuous monitoring case. This includes the Spitzer identities for touching a single upper or lower barrier, and the more difficult…
This paper describes the application of reinforcement learning (RL) to multi-product inventory management in supply chains. The problem description and solution are both adapted from a real-world business solution. The novelty of this…
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, also known as the high-water mark or drawdown. We assume that…
We consider an intermediary's problem of dynamically matching demand and supply of heterogeneous types in a periodic-review fashion. More specifically, there are two disjoint sets of demand and supply types, and a reward associated with…
We study monotone and convex stochastic orders for processes with independent increments. Our contributions are twofold: First, we relate stochastic orders of the Poisson component to orders of their (generalized) L\'evy measures. The…
We present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…
We consider a service system where agents (or, servers) are invited on-demand. Customers arrive as a Poisson process and join a customer queue. Customer service times are i.i.d. exponential. Agents' behavior is random in two respects.…
In this note, we consider the construction of a one-dimensional stable Langevin type process confined in the upper half-plane and submitted to reflective-diffusive boundary conditions whenever the particle position hits 0. We show that two…
In this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of L\'evy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case…
In this paper we consider some insurance policies related to drawdown and drawup events of log-returns for an underlying asset modeled by a spectrally negative geometric L\'evy process. We consider four contracts, three of which were…
We study a double-ended queue where buyers and sellers arrive to conduct trades. When there is a pair of buyer and seller in the system, they immediately transact a trade and leave. Thus there cannot be non-zero number of buyers and sellers…