Stochastic models for broker inventory in dealership markets with a cash management interpretation.
type: Item
instance of: scholarly article
title: Stochastic models for broker inventory in dealership markets with a cash management interpretation.
zbMATH Open document ID: 1063.91038
DOI: 10.1016/S0167-6687(01)00069-5
author: D. Massart
published in: Insurance Mathematics \& Economics
publication date: 2003-11-16T00:00:00Z
review text: This paper investigates the problem of a broker in a dealership market whose buffer content (cash flow) is governed by a stochastic price-dependent demand and supply. The authors study three models. In the first model, buyers and sellers (borrowers and depositors) arrive independently in accordance with price-dependent compound Poisson streams. The second and the third models are two variants of diffusion approximations. For a certain natural revenue function, taking into account the trade-off between holding and shortage costs (opportunity loss and interest rates), they define relevant cost functionals and lay the groundwork for optimization purposes. The approach in analyzing and computing the cost functionals is based on the optional sampling theorem applied to a certain martingale.
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 2003990
zbMATH Keywords: buffer
zbMATH Keywords: stochastic demand and supply
zbMATH Keywords: cost functionals
zbMATH Keywords: martingales
reviewed by: N. G. Gamkrelidze
MaRDI profile type: Publication
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full work available at URL: s0167-6687(01)00069-5
OpenAlex ID: W2021683978
description: scientific article; zbMATH DE number 2003990