Applications de dualité dans les espaces de Köthe
We investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in insurance and finance in an attempt to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending on the strategy applied or the past values of the portfolio. In this setting, a managed investment portfolio serves simultaneously as the underlying security on which the liability/target...
Approximate aggregation techniques consist of introducing certain approximations that allow one to reduce a complex system involving many coupled variables obtaining a simpler ʽʽaggregated systemʼʼ governed by a few variables. Moreover, they give results that allow one to extract information about the complex original system in terms of the behavior of the reduced one. Often, the feature that allows one to carry out such a reduction is the presence...
This paper considers a distribution inventory system that consists of a single warehouse and several retailers. Customer demand arrives at the retailers according to a continuous-time renewal process. Material flow between echelons is driven by reorder point/order quantity inventory control policies. Our objective in this setting is to calculate the long-run inventory, backorder and customer service levels. The challenge in this system is to characterize the demand arrival process at the warehouse....