SIAM Journal on Control and Optimization, Vol.58, No.6, 3428-3456, 2020
OPTIMAL PERIODIC REPLENISHMENT POLICIES FOR SPECTRALLY POSITIVE LEVY DEMAND PROCESSES
We consider a version of the stochastic inventory control problem for a spectrally positive Levy demand process, in which the inventory can only be replenished at independent exponential times. We show the optimality of a periodic barrier replenishment policy that restocks any shortage below a certain threshold at each replenishment opportunity. The optimal policies and value functions are concisely written in terms of the scale functions. Numerical results are also provided.