相关论文: Inventory Control Using a L\'evy Process for Evalu…

This paper studies a continuous-review backlogged inventory model considered by Helmes et al. (2015) but with discontinuous quantity-dependent setup cost for each order. In particular, the setup cost is characterized by a two-step function…

We consider a periodic-review, fixed-lifetime perishable inventory control problem where demand is a general stochastic process. The optimal solution for this problem is intractable due to "curse of dimensionality". In this paper, we first…

This paper studies a class of optimal multiple stopping problems driven by L\'evy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real…

Demand forecasting plays an important role in many inventory control problems. To mitigate the potential harms of model misspecification, various forms of distributionally robust optimization have been applied. Although many of these…

We consider a stochastic inventory control problem under censored demands, lost sales, and positive lead times. This is a fundamental problem in inventory management, with significant literature establishing near-optimality of a simple…

This paper investigates a two-echelon inventory system with a central warehouse and N (N > 2) retailers managed by a centralized information-sharing mechanism. In particular, the paper mathematically models an easy-to-implement inventory…

This paper develops a model-based framework for continuous-time policy evaluation (CTPE) in reinforcement learning, incorporating both Brownian and L\'evy noise to model stochastic dynamics influenced by rare and extreme events. Our…

Consider a regenerative storage process with a nondecreasing L\'evy input (subordinator) such that every cycle may be split into two periods. In the first (off) the output is shut off and the workload accumulates. This continues until some…

Continuous-time autoregressive and moving average (CARMA) models are extensively used to model high-frequency and irregularly sampled data. We study Whittle estimation for the model parameters when the process is observed at renewal times.…

This study investigates large language model (LLM) -based multi-agent systems (MASs) as a promising approach to inventory management, which is a key component of supply chain management. Although these systems have gained considerable…

It is common in inventory theory to consider policies that minimize the expected cost of ordering and holding goods or materials. Nevertheless, the realized cost is a random variable, and, as the Saint Petersburg Paradox reminds us, the…

We consider a stochastic, dynamic job scheduling problem, formulated as a queueing control problem, in which a single server processes jobs of different types that arrive according to independent Poisson processes. The problem is defined on…

Financial markets based on L\'evy processes are typically incomplete and option prices depend on risk attitudes of individual agents. In this context, the notion of utility indifference price has gained popularity in the academic circles.…

We propose a parsimonious stochastic model for characterising the distributional and temporal properties of rainfall. The model is based on an integrated Ornstein-Uhlenbeck process driven by the Hougaard L\'evy process. We derive properties…

We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process…

As declarative query processing techniques expand in scope --- to the Web, data streams, network routers, and cloud platforms --- there is an increasing need for adaptive query processing techniques that can re-plan in the presence of…

During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…

This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…

We provide a simple algorithm for construction of Brownian paths approximating those of a L\'evy process on a finite time interval. It requires knowledge of the L\'evy process trajectory on a chosen regular grid and the law of its endpoint,…

In this paper we extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8 No.3 2008) and Gueant, Lehalle and Fernandez-Tapia ("Dealing…