相关论文: Inventory Accumulation with $k$ Products

We describe a model for evolving commodity forward prices that incorporates three important dynamics which appear in many commodity markets: mean reversion in spot prices and the resulting Samuelson effect on volatility term structure,…

We construct a new process using a fractional Brownian motion and a fractional Ornstein-Uhlenbeck process of the Second Kind as building blocks. We consider the increments of the new process in discrete time and, as a result, we obtain a…

We develop a novel mathematical programming approximation framework to tackle the stochastic knapsack problem. In this problem, the decision maker considers items for which either weights or values, or both, are random. The aim is to select…

We investigate the critical Fortuin-Kasteleyn (cFK) random map model. For each $q\in [0,\infty]$ and integer $n\geq 1$, this model chooses a planar map of $n$ edges with a probability proportional to the partition function of critical…

We introduce a simulation-based, amortised Bayesian inference scheme to infer the parameters of random walks. Our approach learns the posterior distribution of the walks' parameters with a likelihood-free method. In the first step a graph…

We develop a continuous-time general equilibrium framework for economies with a heterogeneous population -- modeled as a continuum -- that repeatedly optimizes over short horizons under relative-income (Duesenberry-type) criteria. The…

Assortment optimization refers to the problem of designing a slate of products to offer potential customers, such as stocking the shelves in a convenience store. The price of each product is fixed in advance, and a probabilistic choice…

In active Brownian motion, an internal propulsion mechanism interacts with translational and rotational thermal noise and other internal fluctuations to produce directed motion. We derive the distribution of its extreme fluctuations and…

We consider a Markovian load balancing model on a fully-connected network, where calls have Poisson arrivals and exponential durations. The endpoints of each call are uniform over all the links of the network. Each call is routed either…

We consider a two-product inventory system with independent Poisson demands, limited joint storage capacity and partial demand substitution. Replenishment is performed simultaneously for both products and the replenishment time may be fixed…

A Riemannian manifold endowed with $k>2$ orthogonal complementary distributions (called here a Riemannian almost $k$-product structure) appears in such topics as multiply warped products, the webs composed of several foliations, and proper…

Higher-order gravity models have been recently the subject of much attention in the context of cosmic acceleration. These models are derived by adding various curvature invariants to the Einstein-Hilbert action. Several studies showed that…

In two prior papers of this series, it was proposed that a wavefunction model of a heavy particle and a collection of light particles might generate ``Brownian-Motion-Like" trajectories as well as diffusive motion (displacement proportional…

Bi-factor and second-order models based on copulas are proposed for item response data, where the items can be split into non-overlapping groups such that there is a homogeneous dependence within each group. Our general models include the…

Brownian motion in R 2 + with covariance matrix $\Sigma$ and drift $\mu$ in the interior and reflection matrix R from the axes is considered. The asymptotic expansion of the stationary distribution density along all paths in R 2 + is found…

We construct a class of one-dimensional diffusion processes on the particles of branching Brownian motion that are symmetric with respect to the limits of random martingale measures. These measures are associated with the extended extremal…

The analysis and control of stochastic dynamical systems rely on probabilistic models such as (continuous-space) Markov decision processes, but large or continuous state spaces make exact analysis intractable and call for principled…

We examine the various indices defined on pairs of almost commuting unitary matrices that can detect pairs that are far from commuting pairs. We do this in two symmetry classes, that of general unitary matrices and that of self-dual…

We review theoretical models of individual motility as well as collective dynamics and pattern formation of active particles. We focus on simple models of active dynamics with a particular emphasis on nonlinear and stochastic dynamics of…

We consider a model for a queue in which only a fixed number $N$ of customers can join. Each customer joins the queue independently at an exponentially distributed time. Assuming further that the service times are independent and follow an…