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math.OC2026
Continuous-time multi-armed bandits under random intervention times
Kei Noba, José Luis Pérez, Kazutoshi Yamazaki +1
This paper examines multi-armed bandits in which actions are taken at random discrete times. The model consists of independent arms. When an arm is operated, it must remain act…
math.OC2026
Optimal Liquidation in a Defaultable Market
Daniel Hernández-HernÅdez, Harold A. Moreno-Franco, José-Luis Pérez
In this paper we address the problem of optimal liquidation of a large portfolio composed by securities exposed to default risk. The default time is described in terms of a Brownia…
math.OC2025
An Inventory System with Two Supply Modes and Lévy Demand
José Luis Pérez, Kazutoshi Yamazaki, Qingyuan Zhang
This study considers a continuous-review inventory model for a single item with two replenishment modes. Replenishments may occur continuously at any time with a higher unit cost,…