Country: United States

Found 17049 papers in total
Fluid limits of optimally controlled queueing networks
Fluid limits of optimally controlled queueing networks
2007,
We consider a class of queueing processes represented by a Skorokhod problem coupled...
Exact transient solution of a state-dependent birth–death process
Exact transient solution of a state-dependent birth–death process
2006,
A power series expression in closed form for the transient probabilities of a...
A semimartingale characterization of average optimal stationary policies for Markov decision processes
A semimartingale characterization of average optimal stationary policies for Markov decision processes
2006,
This paper deals with discrete-time Markov decision processes with Borel state and...
On the mixed fractional Brownian motion
On the mixed fractional Brownian motion
2006,
The mixed fractional Brownian motion is used in mathematical finance, in the modelling...
Free area estimation in a dynamic germ-grain model with renewal dropping process
Free area estimation in a dynamic germ-grain model with renewal dropping process
2006,
A partially observed dynamic germ-grain model with renewal dropping process is...
Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs – part I
Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs – part I
2007,
This is the first of the two companion papers which treat an infinite time horizon...
Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs – part II
Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs – part II
2007,
This paper is the continuation of the paper entitled ‘Hereditary portfolio...
Optimal contracts in continuous-time models
Optimal contracts in continuous-time models
2006,
We present a unified approach to solving contracting problems with full information in...
Stock market dynamics created by interacting agents
Stock market dynamics created by interacting agents
2006,
We study a stock market model, consisting in a large number of agents, going...
Bond portfolio's duration and investment term-structure management problem
Bond portfolio's duration and investment term-structure management problem
2006,
In the considered bond market, there are N zero-coupon bonds transacted continuously,...
On changes of measure in stochastic volatility models
On changes of measure in stochastic volatility models
2006,
Pricing in mathematical finance often involves taking expected values under different...
Option pricing in a regime-switching model using the fast Fourier transform
Option pricing in a regime-switching model using the fast Fourier transform
2006,
This paper is concerned with fast Fourier transform (FFT) approach to option...
Characterization of the marginal distributions of Markov processes used in dynamic reliability
Characterization of the marginal distributions of Markov processes used in dynamic reliability
2006,
In dynamic reliability, the evolution of a system is described by a piecewise...
Analysis of a k-out-of-N system with spares, repairs, and a probabilistic rule
Analysis of a k-out-of-N system with spares, repairs, and a probabilistic rule
2006,
We consider a k-out-of-N reliability system with identical components having...
On (s,S) inventory system with random lead time and repeated demands
On (s,S) inventory system with random lead time and repeated demands
2006,
We consider an (s,S) inventory system with random lead time and repeated demands of...
Effective utilization of idle time in an (s,S) inventory with positive service time
Effective utilization of idle time in an (s,S) inventory with positive service time
2006,
We deviate from the Berman et al. models in inventory with positive service time. We...
Euler–Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
Euler–Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
2006,
Stochastic differential equations (SDEs) under regime-switching have recently been...
Installment options close to expiry
Installment options close to expiry
2006,
We use an asymptotic expansion to study the behavior of installment options close to...
Duality for multiobjective variational control and multiobjective fractional variational control problems with pseudoinvexity
Duality for multiobjective variational control and multiobjective fractional variational control problems with pseudoinvexity
2006,
A class of multiobjective variational control and multiobjective fractional...
Understanding the complexity of the model formulation process: a protocol analysis approach
Understanding the complexity of the model formulation process: a protocol analysis approach
1997,
Formulation of a model involves organization of certain elements of reality into an...
Stochastic judgments in the AHP: the measurement of rank reversal probabilities
Stochastic judgments in the AHP: the measurement of rank reversal probabilities
1997,
This paper presents a methodology for analyzing Analytic Hierarchy Process (AHP)...
Inducement of nonexistent order by the analytic hierarchy process
Inducement of nonexistent order by the analytic hierarchy process
1997,
An apparently unreported problem facing decision makers who use AHP is described. It...
Optimal control and competitive equilibrium of production–inventory systems with application to the petroleum refining industry
Optimal control and competitive equilibrium of production–inventory systems with application to the petroleum refining industry
2006,
An extended abstract of a 2005 winner of the MSOM Society Student Paper Competition,...
An econometric model of location and pricing in the gasoline market
An econometric model of location and pricing in the gasoline market
2007,
The authors propose an econometric model of both the geographic locations of gasoline...
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