Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes

DOI10.1137/18M1196406zbMath1461.60032arXiv1806.09216OpenAlexW3105848126MaRDI QIDQ5136747

Kazutoshi Yamazaki, Alain Bensoussan, José Luis Pérez Garmendia

Publication date: 27 November 2020

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.09216

zbMATH Keywords

inventory modelsscale functionsspectrally one-sided Lévy processesperiodic observations

Mathematics Subject Classification ID

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

Related Items (2)

Optimal sizing of the sediment replenishment capacity based on robust ergodic control of subordinator-driven dynamics ⋮ Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models

Cites Work

• Unnamed Item
• Unnamed Item
• Exit identities for Lévy processes observed at Poisson arrival times
• An optimal dividends problem with transaction costs for spectrally negative Lévy processes
• Smoothness of scale functions for spectrally negative Lévy processes
• On optimal periodic dividend strategies in the dual model with diffusion
• Optimality of hybrid continuous and periodic barrier strategies in the dual model
• On optimal periodic dividend strategies for Lévy risk processes
• On the optimality of periodic barrier strategies for a spectrally positive Lévy process
• Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
• Phase-type Fitting of scale functions for spectrally negative Lévy processes
• On the optimal dividend problem for a spectrally negative Lévy process
• Introductory lectures on fluctuations of Lévy processes with applications.
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Optimality of Refraction Strategies for Spectrally Negative Lévy Processes
• AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING
• Inventory Control for Spectrally Positive Lévy Demand Processes
• The Theory of Scale Functions for Spectrally Negative Lévy Processes
• Optimality of an $(s, S)$ Policy with Compound Poisson and Diffusion Demands: A Quasi-variational Inequalities Approach
• Randomization and the American Put

This page was built for publication: Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes