Related papers: Optimal supply against fluctuating demand
Suppose a customer is faced with a sequence of fluctuating prices, such as for airfare or a product sold by a large online retailer. Given distributional information about what price they might face each day, how should they choose when to…
In this article, we investigate a dynamic control problem of a production-inventory system. Here, demands arrive at the production unit according to a Poisson process and are processed in an FCFS manner. The processing time of the…
We analyze an ideal gas like models of a trading market. We propose a new fit for the money distribution in the fixed or uniform saving market. For the marketwith quenched random saving factors for its agents we show that the steady state…
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising…
The optimal taxation of assets requires attention to two concerns: 1) the elasticity of the supply of assets and 2) the impact of taxing assets on distributional objectives. The most efficient way to attend to these two concerns is to tax…
This paper provides evidence that stock returns, after truncation, might be modeled by a special type of continuous mixtures or normals, so-called $q$-Gaussians. Negative binomial distributions might model the counts for extreme returns. A…
The use of surrogate models instead of computationally expensive simulation codes is very convenient in engineering. Roughly speaking, there are two kinds of surrogate models: the deterministic and the probabilistic ones. These last are…
This paper considers the problem faced by a bank which trades in the funds market so as to maintain the reserve requirements and minimize the costs of doing that. We work in a stochastic paradigm and the reserve requirements are determined…
We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of…
Maximizing the revenue from selling _more than one_ good (or item) to a single buyer is a notoriously difficult problem, in stark contrast to the one-good case. For two goods, we show that simple "one-dimensional" mechanisms, such as…
The accurate prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the variances. Moreover, function…
E-commerce is shifting from search-based shopping to agentic purchasing. Rather than relying on keywords, AI shopping agents learn customer preferences through targeted multi-round conversations and then recommend a tailored set of…
We propose an unconstrained stochastic approximation method of finding the optimal measure change (in an a priori parametric family) for Monte Carlo simulations. We consider different parametric families based on the Girsanov theorem and…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
We study the probability distribution $F(u)$ of the maximum of smooth Gaussian fields defined on compact subsets of $\R^d$ having some geometric regularity. Our main result is a general formula for the density of $F$. Even though this is an…
We consider a problem in parametric estimation: given $n$ samples from an unknown distribution, we want to estimate which distribution, from a given one-parameter family, produced the data. Following Schulman and Vazirani, we evaluate an…
In this paper we analyse Belief Propagation over a Gaussian model in a dynamic environment. Recently, this has been proposed as a method to average local measurement values by a distributed protocol ("Consensus Propagation", Moallemi & Van…
In this paper, we address the task of setting up an optimal production plan taking into account an uncertain demand. The energy system is represented by a system of hyperbolic partial differential equations (PDEs) and the uncertain demand…
We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for existence and uniqueness of the solution and give a characterization…
We consider a Ramsey model with several households with heterogeneous preferences who are able to borrow capital to each other. Since the capital constraints of one household then depends on the others' capital, one can no longer optimize…