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

We propose an efficient method of finding an optimal solution for a multi-item continuous review inventory model in which a bivariate Gaussian probability distribution represents a correlation between the demands of different items. By…

We present an overview of the broad class of financial models in which the prices of assets are L\'evy-Ito processes driven by an $n$-dimensional Brownian motion and an independent Poisson random measure. The Poisson random measure is…

We introduce a longevity feature to the classical optimal dividend problem by adding a constraint on the time of ruin of the firm. We extend the results in \cite{HJ15}, now in context of one-sided L\'evy risk models. We consider de…

In this paper we consider a ring of $N\ge 1$ queues served by a single server in a cyclic order. After having served a queue (according to a service discipline that may vary from queue to queue), there is a switch-over period and then the…

Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…

We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…

We consider a company that receives capital injections so as to avoid ruin. Differently from the classical bail-out settings where the underlying process is restricted to stay at or above zero, we study the case bail-out can only be made at…

Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose…

Literature is full of inference techniques developed to estimate the parameters of stochastic dynamical systems driven by the well-known Brownian noise. Such diffusion models are often inappropriate models to properly describe the dynamics…

In the present paper, we obtain an explicit product formula for products of multiple integrals w.r.t. a random measure associated with a L\'evy process. As a building block, we use a representation formula for products of martingales from a…

In contrast to their seemingly simple and shared structure of independence and stationarity, L\'evy processes exhibit a wide variety of behaviors, from the self-similar Wiener process to piecewise-constant compound Poisson processes.…

We propose a continuous-time stock-flow consistent model for inventory dynamics in an economy with firms, banks, and households. On the supply side, firms decide on production based on adaptive expectations for sales demand and a desired…

Combinatorial Levy processes evolve on general state spaces of countable combinatorial structures. In this setting, the usual Levy process properties of stationary, independent increments are defined in an unconventional way in terms of the…

An innovative numerical technique is presented to adjust the inflow to a supply chain in order to achieve a desired outflow, reducing the costs of inventory, or the goods timing in warehouses. The supply chain is modelled by a conservation…

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…

We consider a single server system with infinite waiting room in a random environment. The service system and the environment interact in both directions. Whenever the environment enters a prespecified subset of its state space the service…

In recent decades, new methods and approaches have been developed for forecasting intermittent demand series. However, the majority of research has focused on point forecasting, with little exploration into probabilistic intermittent demand…

Modeling and optimization of multi-echelon supply chain systems is challenging as it requires a holistic approach that exploits synergies and interactions between echelons while accurately accounting for variability observed by these…

Newsvendor problem is an extensively researched topic in inventory management. In this class of inventory problems, shortage and excess costs are considered to be proportional to the quantity lost. But, for critical goods or commodities,…

Purpose: The model allocates the system components orders to the suppliers to minimize the parts price and the system construction delay penalties and maximize the system availability during its use. It considers the quantity-based discount…