相关论文: An Inventory System with Two Supply Modes and L\'e…

Our goal is to estimate the characteristic exponent of the input to a L\'evy-driven storage system from a sample of equispaced workload observations. The estimator relies on an approximate moment equation associated with the…

A micro-scale model is proposed for the evolution of the limit order book. Within this model, the flows of orders (claims) are described by doubly stochastic Poisson processes taking account of the stochastic character of intensities of bid…

Motivated by growing applications in two-sided markets, we study a parallel matching queue with reneging. Demand and supply units arrive to the system and are matched in an FCFS manner according to a compatibility graph specified by an…

We consider a periodic review inventory control problem having an underlying modulation process that affects demand and that is partially observed by the uncensored demand process and a novel additional observation data (AOD) process. We…

In this paper the robust utility maximization problem for a market model based on L\'evy processes is analyzed. The interplay between the form of the utility function and the penalization function required to have a well posed problem is…

This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…

This paper investigates a class of stochastic Logistic harvesting models driven by tempered stable processes, with a one-sided power-law L\'evy measure. We establish threshold conditions for population extinction and persistence, prove the…

We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…

We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential L\'evy models driven by one-sided stable or tempered stable processes. Pricing formulas take…

We develop a stochastic inventory system which accounts for the limited patience of backlogged customers. While limited patience is a feature that is closer to the nature of unmet demand, our model also unifies the classic backlogging and…

This paper investigates dual sourcing problems with supply mode dependent failure rates, particularly relevant in managing spare parts for downtime-critical assets. To enhance resilience, businesses increasingly adopt dual sourcing…

In this paper, we propose an inventory model where items are inspected through multiple screening processes before delivery to customers. Each screening process has independent screening rate and defective percentage. Defective items…

Several two-boundary problems are solved for a special L\'{e}vy process: the Poisson process with an exponential component. The jumps of this process are controlled by a homogeneous Poisson process, the positive jump size distribution is…

Continuous-time stochastic systems have attracted a lot of attention recently, due to their wide-spread use in finance for modelling price-dynamics. More recently models taking into accounts shocks have been developed by assuming that the…

We revisit the dividend payment problem in the dual model of Avanzi et al. ([2], [1], and [3]). Using the fluctuation theory of spectrally positive L\'{e}vy processes, we give a short exposition in which we show the optimality of barrier…

This paper proposes a mathematical model for the design of a two-echelon supply chain where a set of suppliers serve a set of terminal facilities that receive uncertain customer demands. This model integrates a number of system decisions in…

We consider a continuous time linear multi inventory system with unknown demands bounded within ellipsoids and controls bounded within ellipsoids or polytopes. We address the problem of "-stabilizing the inventory since this implies some…

This paper analyzes a two-product make-to-stock queueing system where a single production facility serves two customer classes with independent Poisson arrivals. Customers make strategic join-or-balk decisions without observing current…

Infinite horizon optimal stopping problems for a L\'evy processes with a two-sided reward function are considered. A two-sided verification theorem is presented in terms of the overall supremum and the overall infimum of the process. A…

This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market and…