Martingale methods for pricing inventory penalties under continuous replenishment and compound renewal demands

DOI10.1007/S10479-012-1130-5zbMATH Open1274.90029OpenAlexW2058259834MaRDI QIDQ378784FDOQ378784

Junmin Shi, Michael N. Katehakis, Benjamin Melamed

Publication date: 12 November 2013

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

Full work available at URL: https://doi.org/10.1007/s10479-012-1130-5

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zbMATH Keywords

martingaleinventory penalty functionsoveragerisk-neutral pricingunderage

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

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Cited In (22)

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• Joint pricing and inventory control for additive demand models with reference effects
• Inventory systems with stochastic and batch demand: computational approaches
• LOG-CONCAVITY OF COMPOUND DISTRIBUTIONS WITH APPLICATIONS IN OPERATIONAL AND ACTUARIAL MODELS
• Surgical scheduling by fuzzy model considering inpatient beds shortage under uncertain surgery durations
• Dynamic pricing and inventory control with delivery flexibility
• Optimal processing rate and buffer size of a jump-diffusion processing system
• On optimal bidding and inventory control in sequential procurement auctions: the multi period case
• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
• Optimal continuous production-inventory systems subject to stockout risk
• A constrained integrated imperfect manufacturing-inventory system with preventive maintenance and partial backordering
• A compound Poisson EOQ model for perishable items with intermittent high and low demand periods
• Continuity of equilibria for two-person zero-sum games with noncompact action sets and unbounded payoffs
• Inventory turns and finite-horizon Little's laws
• On the optimality equation for average cost Markov decision processes and its validity for inventory control
• Service with a queue and a random capacity cart: random processing batches and E-limited policies
• Structure of optimal policies to periodic-review inventory models with convex costs and backorders for all values of discount factors

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