We study fixed-dimensional stochastic dynamic programs in a discrete setting over a finite horizon. Under the primary assumption that the cost-to-go functions are discrete L♮-convex, we propose a pseudo-polynomial time approximation scheme that solves this problem to within an arbitrary...

We study several dynamic, stochastic inventory control models with integer demands: the newsvendor model, its multi-period extension and a single-product, multi-echelon assembly model. Equivalent linear programs are formulated for the corresponding stochastic dynamic programs, and integrality...

We propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process. All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded...