Inventory Control for Spectrally Positive Lévy Demand Processes
From MaRDI portal
Publication:2976149
Abstract: A new approach to solve the continuous-time stochastic inventory problem using the fluctuation theory of Levy processes is developed. This approach involves the recent developments of the scale function that is capable of expressing many fluctuation identities of spectrally one-sided Levy processes. For the case with a fixed cost and a general spectrally positive Levy demand process, we show the optimality of an (s,S)-policy. The optimal policy and the value function are concisely expressed via the scale function. Numerical examples under a Levy process in the beta-family with jumps of infinite activity are provided to confirm the analytical results. Furthermore, the case with no fixed ordering costs is studied.
Recommendations
- Optimal and near-optimal \((s,S)\) inventory policies for Levy demand processes
- Optimal periodic replenishment policies for spectrally positive Lévy demand processes
- Inventory control with modulated demand and a partially observed modulation process
- Continuous inventory control with stochastic and non-stationary Markovian demand
- Optimal inventory control with jump diffusion and nonlinear dynamics in the demand
- Inventory control under temporal demand heteroscedasticity
- Control of inventories with Markov demand
- Ergodic control for a mean reverting inventory model
- Optimal and asymptotically optimal control for some inventory models
- Optimal control of a mean-reverting inventory
Cites work
- A capped optimal stopping problem for the maximum process
- American step-up and step-down default swaps under Lévy models
- An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
- An optimal dividends problem with transaction costs for spectrally negative Lévy processes
- Contraction options and optimal multiple-stopping in spectrally negative Lévy models
- Default swap games driven by spectrally negative Lévy processes
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- Dynamic programming and inventory control.
- Exit problem for a spectrally positive process
- Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
- Games of singular control and stopping driven by spectrally one-sided Lévy processes
- General tax structures and the Lévy insurance risk model
- Impulsive control in management: Prospects and applications
- Meromorphic Lévy processes and their fluctuation identities
- Old and new examples of scale functions for spectrally negative Lévy processes
- On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
- On optimal dividends in the dual model
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
- On the optimal dividend problem for a spectrally negative Lévy process
- Optimal capital structure with scale effects under spectrally negative Lévy models
- Optimal dividend problem with a terminal value for spectrally positive Lévy processes
- Optimal dividends in the dual model under transaction costs
- Optimal stopping problems for the maximum process with upper and lower caps
- Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
- Optimality of an \((s,S)\) policy with compound Poisson and diffusion demands: a quasi-variational inequalities approach
- Optimality of doubly reflected Lévy processes in singular control
- Optimality of refraction strategies for spectrally negative Lévy processes
- Phase-type Fitting of scale functions for spectrally negative Lévy processes
- Precautionary measures for credit risk management in jump models
- Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
- Problem of destruction and resolvent of a terminating process with independent increments
- Russian and American put options under exponential phase-type Lévy models.
- Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
- Smoothness of scale functions for spectrally negative Lévy processes
- The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process
- The McKean stochastic game driven by a spectrally negative Lévy process
- The theory of scale functions for spectrally negative Lévy processes
- Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
Cited in
(16)- A stochastic inventory model for a random yield supply chain with wholesale-price and shortage penalty contracts
- Optimal and near-optimal \((s,S)\) inventory policies for Levy demand processes
- Contraction options and optimal multiple-stopping in spectrally negative Lévy models
- Optimal periodic replenishment policies for spectrally positive Lévy demand processes
- Optimality of hybrid continuous and periodic barrier strategies in the dual model
- An approximation scheme for impulse control with random reaction periods
- Optimal cash management using impulse control
- TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
- A solution technique for Lévy driven long term average impulse control problems
- Optimal cash management problem for compound Poisson processes with two-sided jumps
- Resolvent-techniques for multiple exercise problems
- Optimality of Two-Parameter Strategies in Stochastic Control
- Optimality of refraction strategies for spectrally negative Lévy processes
- Impulse control with discontinuous setup costs: discounted cost criterion
- Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail
- Management of online server congestion using optimal demand throttling
This page was built for publication: Inventory Control for Spectrally Positive Lévy Demand Processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2976149)
