Many decision problems exhibit structural properties in the sense that the objective function is a composition of different component functions that can be identified using empirical data. We consider the approximation of such objective functions, subject to general monotonicity constraints on...

Based on a dynamic model of the stochastic repayment behavior exhibited by delinquent credit-card accounts as a self-exciting point process, a bank can control the arrival intensity of repayments using costly account-treatment actions. A semi-analytic solution to the corresponding stochastic...

We argue that dynamic pricing motivated by the management of inventory holding and ordering costs leads to increased operational efficiencies which could benefit firms without hurting consumers. To demonstrate this point, we equip the traditional economic order quantity (EOQ) setting with a rich...

Problem definition. We present a continuous-time Bayesian model for managing inventory in a retail setting when inventory records are inaccurate. In our formulation, the inventory level and its record have separate dynamics. The former is driven by the demand and unobservable loss process while...

We present a continuous-time stochastic model of an inventory system with record inaccuracy. In this formulation, demand is modeled by a point process and is observable only when it leads to sales. In addition to demand that can reduce the stock, an unobservable stochastic loss process can also...