相关论文: Optimal supply against fluctuating demand

The last success problem is an optimal stopping problem that aims to maximize the probability of stopping on the last success in a sequence of independent $n$ Bernoulli trials. In the classical setting where complete information about the…

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,…

The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…

Both inflation and unemployment inflict social losses. When a tradeoff exists between the two, what would be the best combination of inflation and unemployment? A well known approach in economics to address this question consists to write…

Heavy-tailed distributions are widely used in robust mixture modelling due to possessing thick tails. As a computationally tractable subclass of the stable distributions, sub-Gaussian $\alpha$-stable distribution received much interest in…

We provide sufficient conditions for revenue maximization in a two-good monopoly where the buyer's values for the items come from independent (but not necessarily identical) distributions over bounded intervals. Under certain distributional…

Sub-Gaussian and subexponential distributions are introduced and applied to study the fluctuation-response relation out of equilibrium. A bound on the difference in expected values of an arbitrary sub-Gaussian or subexponential physical…

Option pricing formulas are derived from a non-Gaussian model of stock returns. Fluctuations are assumed to evolve according to a nonlinear Fokker-Planck equation which maximizes the Tsallis nonextensive entropy of index $q$. A generalized…

The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…

We describe a method to computationally estimate the probability density function of a univariate random variable by applying the maximum entropy principle with some local conditions given by Gaussian functions. The estimation errors and…

It is argued that a Gibbsian formula for the space-time distribution of microscopic trajectories of a nonequilibrium system provides a unifying framework for recent results on the fluctuations of the entropy production. The variable entropy…

We explain how the statistics of global observables in correlated systems can be related to extreme value problems and to Gumbel statistics. This relationship then naturally leads to the emergence of the generalized Gumbel distribution…

In a closed economic system, money is conserved. Thus, by analogy with energy, the equilibrium probability distribution of money must follow the exponential Gibbs law characterized by an effective temperature equal to the average amount of…

Order statistics theory is applied in this paper to probabilistic robust control theory to compute the minimum sample size needed to come up with a reliable estimate of an uncertain quantity under continuity assumption of the related…

A small investor provides liquidity at the best bid and ask prices of a limit order market. For small spreads and frequent orders of other market participants, we explicitly determine the investor's optimal policy and welfare. In doing so,…

The projected normal distribution, also known as the angular Gaussian distribution, is obtained by dividing a multivariate normal random variable $\mathbf{x}$ by its norm $\sqrt{\mathbf{x}^T \mathbf{x}}$. The resulting random variable…

Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…

Under certain conditions on k we calculate the limit distribution of the k:th largest eigenvalue, x_k, of the Gaussian Unitary Ensemble (GUE). More specifically, if n is the dimension of a random matrix from the GUE and k is such that both…

We deal with a generalized statistical description of nonequilibrium complex systems based on least biased distributions given some prior information. A maximum entropy principle is introduced that allows for the determination of the…

We introduce a deductive statistical mechanics approach for granular materials which is formally built from few realistic physical assumptions. The main finding is an universal behavior for the distribution of the density fluctuations. Such…