Inventory Control for Spectrally Positive Lévy Demand Processes

DOI10.1287/MOOR.2016.0801zbMATH Open1359.90012arXiv1303.5163OpenAlexW1843140841MaRDI QIDQ2976149FDOQ2976149

Authors: Kazutoshi Yamazaki 

Publication date: 13 April 2017

Published in: Mathematics of Operations Research (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1303.5163

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zbMATH Keywords

scale functionsinventory models\((s,S)\)-policyimpules controlspectrally one-sided Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20)

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Cited In (16)

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