Independent Poisson Processes Research Articles

An emergency supply policy for an inventory replenishment model with returns and partial backorders

AbstractThis paper studies a continuous-review inventory replenishment model with a limited storage capacity S in an uncertain environment. We assume that the demands and returns follow independent Poisson processes. We further assume a ra1079 shelf life, a random lead time, and early loss. The storage is managed according to the base-stock (S, s) policy for $$s<S,S>0.$$ s < S , S > 0 . In case of overstock, each returned item exceeding S is transferred to a foreign facility. If during the lead time a demand reaches zero stock, we consider two alternatives: either allow partial backordering up to $$L_{B}$$ L B items, beyond which the unsatisfied demand is lost, or call for an immediate and costly emergency supply up to level $$0<Q_{B}^{e}\le S$$ 0 < Q B e ≤ S . Our objective is to study how the thresholds s, S, $$L_{B},$$ L B , and $$Q_{B}^{e}$$ Q B e are impacted by the system’s parameters, such as returns, demands, and costs. Using a Markovian framework, we derive the steady-state probabilities for the inventory level, and construct closed-form expressions for the average cost functions. Then, we numerically investigate the impact of the different parameters on the best policy and on the threshold levels. We compare the two alternatives and identify situations in which calling for an emergency supply is economically profitable.

Copula-based Bayesian estimation of probabilities for two dependent non homogenous compound Poisson processes

Bivariate copulas for two dependent non homogeneous compound Poisson processes (NCPP) are considered. In this scenario, the arrival times of events are assumed to follow two independent non homogeneous Poisson processes (NHPP), but the corresponding renewal variables are dependent through a bivariate copula. The article aims to provide a computational tool for the estimation of the probability that the random sum associated with the first NCPP is less than the other random sum by a truncated time. The proposed ML and Bayesian estimation methods in a general setting can be applied using bivariate copulas such as Gumbel (for upper tail dependency), Clayton (for lower tail dependency), and Frank (for symmetric dependency). Power Law (PL) intensity function for the NHPPs and Inverse-Gaussian as renewal distribution are considered as examples. Bayes estimates of NHPPs parameters use gamma priors, and for Bayes estimates of Inverse-Gaussian distribution, an MCMC algorithm is employed. Our method has a broad range of practical applications, especially in the insurance sector, where the renewal variable may represent the dollar amount associated with a claim. To illustrate our approach, we analyze injury claims in North Carolina and South Carolina over a specific period, using a dataset sourced from docs.databricks.com.

Discounted nonzero-sum optimal stopping games under Poisson random intervention times

We present solutions to some discounted nonzero-sum optimal stopping games of two players related to the perpetual game-type contingent claims with payoffs representing linear functions of the running values of a geometric Brownian motion. It is assumed that the underlying process can be stopped by the both players only at certain random intervention times which coincide with the jump times of the two appropriate independent Poisson processes. The optimal stopping times forming a Nash equilibrium are shown to be the first times at which the underlying process is either below or above certain lower or upper constant boundaries at the jump times of the appropriate Poisson processes. The proof is based on the reductions of the original games to the associated coupled free-boundary problems and the solutions to the latter problems by means of the smooth-fit conditions at the optimal boundaries for every player. We show that the optimal stopping constant lower and upper boundaries are determined as (possibly multiple) solutions to the equivalent coupled systems of arithmetic equations. The obtained results can be interpreted as the rational valuation of some perpetual randomized Bermudian game-type contingent claims in the Black-Merton-Scholes model.

Geometric random intersection graphs with general connection probabilities

Abstract Let $\mathcal{V}$ and $\mathcal{U}$ be the point sets of two independent homogeneous Poisson processes on $\mathbb{R}^d$ . A graph $\mathcal{G}_\mathcal{V}$ with vertex set $\mathcal{V}$ is constructed by first connecting pairs of points (v, u) with $v\in\mathcal{V}$ and $u\in\mathcal{U}$ independently with probability $g(v-u)$ , where g is a non-increasing radial function, and then connecting two points $v_1,v_2\in\mathcal{V}$ if and only if they have a joint neighbor $u\in\mathcal{U}$ . This gives rise to a random intersection graph on $\mathbb{R}^d$ . Local properties of the graph, including the degree distribution, are investigated and quantified in terms of the intensities of the underlying Poisson processes and the function g. Furthermore, the percolation properties of the graph are characterized and shown to differ depending on whether g has bounded or unbounded support.

Non-Markovian Feedback Retrial Queue with Two Types of Customers and Delayed Repair Under Bernoulli Working Vacation

This paper deals with an M/G/1 feedback retrial G-queue and delayed repair incorporating Bernoulli working vacation. Arrivals of both favorable and unfavorable consumers are two independent Poisson processes. The server is subjected to breakdown during the regular busy period due to the arrival of unfavorable customers and then the server will be down for a short period of time. Further, the concept of delay time is also discussed. After the fulfillment of regular service, the dissatisfied consumer may re-join the orbit to receive another service as a feedback consumer. During the working vacation period, the server provides the service to consumers at a reduced rate. By applying the supplementary variable technique (SVT), we have analyzed the steady-state probability generating function (PGF) for the system size and orbit size. In addition, we have presented the system performance, reliability indicators, and stochastic decomposition property. Finally, we provided numerical examples to illustrate our model’s mathematical results.

Matched queues with matching batch pair [formula omitted]

In this paper, we develop the matrix-analytic method to discuss an interesting but challenging bilateral stochastic matching problem: A matched queue with matching batch pair (m,n) and two types of impatient customers, where the two types of customers arrive according to two independent Poisson processes. Once m A-customers and n B-customers are matched as a group, the m+n customers immediately leave the system. We show that this matched queue can be expressed as a novel bidirectional level-dependent quasi-birth-and-death (QBD) process whose analysis has its own interests, and specifically, computing the maximal non-positive inverse matrices of bidirectional infinite sizes by using the RG-factorizations. Based on this, we can provide an effective matrix-analytic method to deal with this matched queue, including the system stability, the average stationary queue lengths, the average sojourn times, and the departure process. We believe that the methodology and results developed in this paper can be applicable to studying more general matched queueing systems, which are widely encountered in many practical areas.

Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics

In this study, cross-currency derivatives pricing under stochastic interest rates is analyzed when Markov-modulated cojump-diffusion dynamics with both idiosyncratic and simultaneous jumps drive the underlying foreign equity price and foreign exchange rate processes. More specifically, the noise dynamics of these two assets are captured by the correlated Wiener processes, and the two types of jump events are described as two independent compound Poisson processes with log-normal jump amplitudes. Cojumping addresses the correlation between these two asset price jumps. In an incomplete market setting, the dynamic Esscher transform approach is applied to determine a pricing kernel. According to the resulting dynamics, explicit analytical formulas for evaluating values of European foreign equity call options are provided. Numerical experiments are also described.

Shortage Policies for a Jump Process with Positive and Negative Batch Arrivals in a Random Environment

We study a continuous-review stock management of a retailer for a single item in a limited storage (buffer) in a random environment. The stock level fluctuates according to two independent compound Poisson processes with discrete amounts of items (batches) that enter and leave the storage facility. The storage facility is controlled by a three-parameter base-stock replenishment policy. All items exceeding the storage capacity are transferred to an unlimited foreign facility. In addition, a restricted backlogging possibility is permitted; additional demands for items are lost sales. We further assume a random shelf life, the possibility of total inventory collapse, and a random lead time. Applying Markov theory, we derive the optimal control parameters minimizing the long-run expected total cost. A sensitivity analysis is conducted focusing on the comparison between the pure lost-sales policy and a partial backordering policy. Accordingly, we identify cases where one policy is cost effective compared to the other, particularly with respect to the batch patterns (sign, rate, average, and variability), and the associated costs.

Timely Cache Updating in Parallel Multi-Relay Networks

We consider a system consisting of a server, which receives updates for <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">N</i> files according to independent Poisson processes. The goal of the server is to deliver the latest version of the files to a user through a parallel network of <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">K</i> caches. We consider an update received by the user successful, if the user receives the same file version that is currently prevailing at the server. We derive an analytical expression for information freshness at the user. We observe that freshness for a file increases with increase in consolidation of rates across caches. To solve the multi-cache problem, we first solve the auxiliary problem of a single-cache system. We then rework this auxiliary solution to our parallel-cache network by consolidating rates to single routes as much as possible. This yields an approximate (sub-optimal) solution for the original problem. We provide an upper bound on the gap between the sub-optimal solution and the optimal solution. We present counterpart expressions and policies for version age of information by employing a stochastic hybrid system approach. Numerical results for both timeliness metrics show that the proposed sub-optimal policy closely follows the optimal policy.

A convenient Keldysh contour for thermodynamically consistent perturbative and semiclassical expansions

The work fluctuation theorem (FT) is a symmetry connecting the moment generating functions (MGFs) of the work extracted in a given process and in its time-reversed counterpart. We show that, equivalently, the FT for work in isolated quantum systems can be expressed as an invariance property of a modified Keldysh contour. Modified contours can be used as starting points of perturbative and path integral approaches to quantum thermodynamics, as recently pointed out in the literature. After reviewing the derivation of the contour-based perturbation theory, we use the symmetry of the modified contour to show that the theory satisfies the FT at every order. Furthermore, we extend textbook diagrammatic techniques to the computation of work MGFs, showing that the contributions of the different Feynman diagrams can be added to obtain a general expression of the work statistics in terms of a sum of independent rescaled Poisson processes. In this context, the FT takes the form of a detailed balance condition linking every Feynman diagram with its time-reversed variant. In the second part, we study path integral approaches to the calculation of the MGF, and discuss how the arbitrariness in the choice of the contour impacts the final form of the path integral action. In particular, we show how using a symmetrized contour makes it possible to easily generalize the Keldysh rotation in the context of work statistics, a procedure paving the way to a semiclassical expansion of the work MGF. Furthermore, we use our results to discuss a generalization of the detailed balance conditions at the level of the quantum trajectories.

Two commodity queueing inventory system with random common lifetime, two demand classes and pool of customers

This paper analyzes a two-commodity perishable queueing inventory system with random common lifetimes commodity-wise, positive service time, and individual ordering policy. We have considered two types of customers: priority customers and non-priority customers. There is a buffer of finite capacity for the priority customers and a pool with infinite capacity made available for the non-priority customers. The arrival of these customers is occurred by two independent Poisson processes. The lifetimes of each of the commodities and service times follow independent exponential distributions. The matrix geometric approach is used to analyze the model's steady-state behavior and we computed various system performance measures. This article examines the effects of the common lifetime parameters on the measures of performance, such as average cycle time, the average number of reorders due to the realization of the common lifetime of commodities, etc. Also, a sensitivity analysis of the system parameters on the performance measures is carried out. Further, a cost function is constructed based on the performance measures, and its convexity is examined numerically.

There is no stationary cyclically monotone Poisson matching in 2d

We show that there is no cyclically monotone stationary matching of two independent Poisson processes in dimension d=2. The proof combines the harmonic approximation result from Goldman et al. (Commun. Pure Appl. Math. 74:2483–2560, 2021) with local asymptotics for the two-dimensional matching problem for which we give a new self-contained proof using martingale arguments.

Optimal coupling of jumpy Brownian motion on the circle

AbstractConsider a Brownian motion on the circumference of the unit circle, which jumps to the opposite point of the circumference at incident times of an independent Poisson process of rate $\lambda$ . We examine the problem of coupling two copies of this ‘jumpy Brownian motion’ started from different locations, so as to optimise certain functions of the coupling time. We describe two intuitive co-adapted couplings (‘Mirror’ and ‘Synchronous’) which differ only when the two processes are directly opposite one another, and show that the question of which strategy is best depends upon the jump rate $\lambda$ in a non-trivial way. We also provide an explicit description of a (non-co-adapted) maximal coupling for any jump rate in the case that the two jumpy Brownian motions begin at antipodal points of the circle.

Distribution of the Age of Gossip in Networks.

We study a general setting of gossip networks in which a source node forwards its measurements (in the form of status updates) about some observed physical process to a set of monitoring nodes according to independent Poisson processes. Furthermore, each monitoring node sends status updates about its information status (about the process observed by the source) to the other monitoring nodes according to independent Poisson processes. We quantify the freshness of the information available at each monitoring node in terms of Age of Information (AoI). While this setting has been analyzed in a handful of prior works, the focus has been on characterizing the average (i.e., marginal first moment) of each age process. In contrast, we aim to develop methods that allow the characterization of higher-order marginal or joint moments of the age processes in this setting. In particular, we first use the stochastic hybrid system (SHS) framework to develop methods that allow the characterization of the stationary marginal and joint moment generating functions (MGFs) of age processes in the network. These methods are then applied to derive the stationary marginal and joint MGFs in three different topologies of gossip networks, with which we derive closed-form expressions for marginal or joint high-order statistics of age processes, such as the variance of each age process and the correlation coefficients between all possible pairwise combinations of age processes. Our analytical results demonstrate the importance of incorporating the higher-order moments of age processes in the implementation and optimization of age-aware gossip networks rather than just relying on their average values.

On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes

This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Poisson process while capital can be injected continuously in time. We show the optimality of the regime-modulated Parisian-classical reflection strategy when the underlying risk model follows a general spectrally negative Markov additive process. In order to verify the optimality, first we study an auxiliary problem driven by a single spectrally negative Lévy process with a final payoff at an exponential terminal time and characterize the optimal dividend strategy. Then, we use the dynamic programming principle to transform the global regime-switching problem into an equivalent local optimization problem with a final payoff up to the first regime switching time. The optimality of the regime modulated Parisian-classical barrier strategy can be proven by using the results from the auxiliary problem and approximations via recursive iterations.

Competing risks and shock models governed by a generalized bivariate Poisson process

AbstractWe propose a stochastic model for the failure times of items subject to two external random shocks occurring as events in an underlying bivariate counting process. This is a special formulation of the competing risks model, which is of interest in reliability theory and survival analysis. Specifically, we assume that a system, or an item, fails when the sum of the two types of shock reaches a critical random threshold. In detail, the two kinds of shock occur according to a bivariate space-fractional Poisson process, which is a two-dimensional vector of independent homogeneous Poisson processes time-changed by an independent stable subordinator. Various results are given, such as analytic hazard rates, failure densities, the probability that the failure occurs due to a specific type of shock, and the survival function. Some special cases and ageing notions related to the NBU characterization are also considered. In this way we generalize certain results in the literature, which can be recovered when the underlying process reduces to the homogeneous Poisson process.

Transitions for exceptional times in dynamical first-passage percolation

In first-passage percolation (FPP), we let $$(\tau _v)$$ be i.i.d. nonnegative weights on the vertices of a graph and study the weight of the minimal path between distant vertices. If F is the distribution function of $$\tau _v$$ , there are different regimes: if F(0) is small, this weight typically grows like a linear function of the distance, and when F(0) is large, the weight is typically of order one. In between these is the critical regime in which the weight can diverge, but does so sublinearly. We study a dynamical version of critical FPP on the triangular lattice where vertices resample their weights according to independent rate-one Poisson processes. We prove that if $$\sum F^{-1}(1/2+1/2^k) = \infty $$ , then a.s. there are exceptional times at which the weight grows atypically, but if $$\sum k^{7/8} F^{-1}(1/2+1/2^k) <\infty $$ , then a.s. there are no such times. Furthermore, in the former case, we compute the Hausdorff and Minkowski dimensions of the exceptional set and show that they can be but need not be equal. These results show a wider range of dynamical behavior than one sees in subcritical (usual) FPP.

Performance analysis for Bernoulli feedback queues subject to disasters: a system with batch Poisson arrivals under a multiple vacation policy

ABSTRACT We analyze an M/G/1 system with batch Poisson arrivals and instantaneous Bernoulli feedback, operating under a Multiple Vacation Policy. The system is subject to disasters that occur according to an independent Poisson process and are followed by (random) repair periods with general distribution. The analysis is carried out using the supplementary variable method. The Laplace transform of the time between two consecutive disasters is obtained and the existence of the stationary regime for the system is shown. Besides obtaining the stationary distribution for the number of customers in the system, we use the information regarding the rates of occurrence of various events provided by the supplementary variable solution to obtain a great variety of additional results. These include the Laplace transform of the busy period distribution and the probability that a customer completes service. We indicate areas of application of our model to real-life systems, in particular in Vehicle ad hoc Networks (VANETs), and we use the analytic results obtained to optimize such a system under a Quality of Service constraint. Finally, we analyze a variant of the system subject to disasters even when the server is not busy.

Exact simulation of the first passage time through a given level of jump diffusions

Continuous-time stochastic processes play an important role in the description of random phenomena. It is therefore important to study particular stopping times dependent on the trajectories of these processes. Two approaches are possible: introducing an explicit expression of their probability distribution, and evaluating values generated by numerical models. Choosing the second alternative, we propose an algorithm to generate the first passage time through a given level. The stochastic process under consideration is a one-dimensional jump diffusion that satisfies a stochastic differential equation driven by a Brownian motion. It is subject to random shocks that are characterised by an independent Poisson process. The proposed algorithm belongs to the family of rejection sampling procedures: the outcome of the algorithm and the stopping time under consideration are identically distributed. This algorithm is based on both the exact simulation of the diffusion value at a fixed time and on the exact simulation of the first passage time for continuous diffusion processes (see Herrmann and Zucca (2019)). At a fixed point in time, the main challenge is to generate the position of a continuous diffusion that is conditioned not to reach a given level before that time. We present the construction of the algorithm and numerical examples. We also discuss specific conditions leading to the recurrence of a jump diffusion process.

Minimal matchings of point processes

Suppose that red and blue points form independent homogeneous Poisson processes of equal intensity in {{mathbb {R}}}^d. For a positive (respectively, negative) parameter gamma we consider red-blue matchings that locally minimize (respectively, maximize) the sum of gamma th powers of the edge lengths, subject to locally minimizing the number of unmatched points. The parameter can be viewed as a measure of fairness. The limit gamma rightarrow -infty is equivalent to Gale-Shapley stable matching. We also consider limits as gamma approaches 0, 1-, 1+ and infty . We focus on dimension d=1. We prove that almost surely no such matching has unmatched points. (This question is open for higher d). For each gamma <1 we establish that there is almost surely a unique such matching, and that it can be expressed as a finitary factor of the points. Moreover, its typical edge length has finite rth moment if and only if r<1/2. In contrast, for gamma =1 there are uncountably many matchings, while for gamma >1 there are countably many, but it is impossible to choose one in a translation-invariant way. We obtain existence results in higher dimensions (covering many but not all cases). We address analogous questions for one-colour matchings also.