Inventory Control for Spectrally Positive Lévy Demand Processes (Q2976149)

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Language	Label	Description	Also known as
English	Inventory Control for Spectrally Positive Lévy Demand Processes	scientific article

Statements

scholarly article

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Inventory Control for Spectrally Positive Lévy Demand Processes (English)

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Kazutoshi Yamazaki

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Mathematics of Operations Research

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publication date

13 April 2017

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full work available at URL

https://arxiv.org/abs/1303.5163

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zbMATH Keywords

inventory models

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impules control

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\((s,S)\)-policy

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spectrally one-sided Lévy processes

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scale functions

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MaRDI profile type

MaRDI publication profile

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Russian and American put options under exponential phase-type Lévy models.

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On the optimal dividend problem for a spectrally negative Lévy process

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The McKean stochastic game driven by a spectrally negative Lévy process

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Optimality of doubly reflected Lévy processes in singular control

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The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process

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ON OPTIMAL DIVIDENDS IN THE DUAL MODEL

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Optimal dividends in the dual model under transaction costs

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Optimality of an $(s,S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-Variational Inequalities Approach

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Impulsive control in management: Prospects and applications

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Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach

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Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval

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Smoothness of scale functions for spectrally negative Lévy processes

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Precautionary measures for credit risk management in jump models

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On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models

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Phase-type Fitting of scale functions for spectrally negative Lévy processes

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Default swap games driven by spectrally negative Lévy processes

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Exit problem for a spectrally positive process

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Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes

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Games of singular control and stopping driven by spectrally one-sided Lévy processes

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Optimality of Refraction Strategies for Spectrally Negative Lévy Processes

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Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes

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Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes

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The Theory of Scale Functions for Spectrally Negative Lévy Processes

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Meromorphic Lévy processes and their fluctuation identities

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A capped optimal stopping problem for the maximum process

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Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

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Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels

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General tax Structures and the Lévy Insurance Risk Model

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American step-up and step-down default swaps under Lévy models

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On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes

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An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density

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An optimal dividends problem with transaction costs for spectrally negative Lévy processes

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Optimal stopping problems for the maximum process with upper and lower caps

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On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum

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Problem of destruction and resolvent of a terminating process with independent increments

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OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS

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Contraction options and optimal multiple-stopping in spectrally negative Lévy models

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Optimal dividend problem with a terminal value for spectrally positive Lévy processes

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Identifiers

zbMATH Open document ID

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10.1287/moor.2016.0801

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2976149

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