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Wide sense one-dependent processes with embedded Harris chains and their applications in inventory management

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  • Bazsa-Oldenkamp, E.M.
  • den Iseger, P.

Abstract

In this paper we consider stochastic processes with an embedded Harris chain. The embedded Harris chain describes the dependence structure of the stochastic process. That is, all the relevant information of the past is contained in the state of the embedded Harris chain. For these processes we proved a powerful reward theorem. Futher, we show how we can control these type of processes and give a formulation similar to semi-Markov decision processes. Finally we discuss a number of applications in inventory management.

Suggested Citation

  • Bazsa-Oldenkamp, E.M. & den Iseger, P., 2003. "Wide sense one-dependent processes with embedded Harris chains and their applications in inventory management," Econometric Institute Research Papers EI 2002-44, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:536
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    References listed on IDEAS

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    1. William S. Lovejoy, 1992. "Stopped Myopic Policies in Some Inventory Models with Generalized Demand Processes," Management Science, INFORMS, vol. 38(5), pages 688-707, May.
    2. Glynn, Peter & Sigman, Karl, 1992. "Uniform Cesaro limit theorems for synchronous processes with applications to queues," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 29-43, February.
    3. Karl Sigman, 1990. "One-Dependent Regenerative Processes and Queues in Continuous Time," Mathematics of Operations Research, INFORMS, vol. 15(1), pages 175-189, February.
    4. Emöke Bázsa & Peter den Iseger, 2001. "Single Item Inventory Models," Tinbergen Institute Discussion Papers 01-101/4, Tinbergen Institute.
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