Journal: Mathematics of Operations Research

Found 1103 papers in total
Parabolic alternating direction implicit methods for pricing American options on two stocks
Parabolic alternating direction implicit methods for pricing American options on two stocks
2002,
We propose two numerical methods for pricing American options on two stocks based on...
Optimal replacement under partial observations
Optimal replacement under partial observations
2003,
In this paper, we present a framework for the condition-based maintenance...
Analysis of simple algorithms for dynamic load balancing
Analysis of simple algorithms for dynamic load balancing
1997,
The principle of load balancing is examined for dynamic resource allocation subject to...
Polling systems in heavy traffic: A Bessel process limit
Polling systems in heavy traffic: A Bessel process limit
1998,
This paper studies the classical polling model under the exhaustive-service...
On the estimation of the throughput for a class of stochastic resources sharing systems
On the estimation of the throughput for a class of stochastic resources sharing systems
1998,
We present in this paper a stochastic model for a class of reservation systems, we...
Pricing of American contingent claims with jump stock price and constrained portfolios
Pricing of American contingent claims with jump stock price and constrained portfolios
1998,
In this paper, we study the problems of pricing American contingent claims in an...
Corrected diffusion approximations for a multistage production–inventory system
Corrected diffusion approximations for a multistage production–inventory system
1997,
We analyze a multistage inventory system with limited production capacity facing...
Numerical analysis of American option pricing in a jump-diffusion model
Numerical analysis of American option pricing in a jump-diffusion model
1997,
We discuss pricing formulae for American options in Merton's jump-diffusion model....
Lower bounds in lot-sizing models: A polyhedral study
Lower bounds in lot-sizing models: A polyhedral study
1998,
Variable lower bounds in Mixed Integer Programs are constraints with the general form...
Heavy tails and long range dependence in on/off processes and associated fluid models
Heavy tails and long range dependence in on/off processes and associated fluid models
1998,
On/off models are common inputs for a variety of communication network models as well...
An operational calculus for matrix-exponential distributions, with applications to a Brownian (q, Q) inventory model
An operational calculus for matrix-exponential distributions, with applications to a Brownian (q, Q) inventory model
1998,
A distribution G on (0, ∞) is called matrix-exponential if the density has the...
Robust portfolio selection problems
Robust portfolio selection problems
2003,
In this paper we show how to formulate and solve robust portfolio selection problems....
A robust control framework for option pricing
A robust control framework for option pricing
1997,
A new approach is taken to the problem of option pricing. In the standard framework,...
Survival and growth with a liability: Optimal portfolio strategies in continuous time
Survival and growth with a liability: Optimal portfolio strategies in continuous time
1997,
We study the optimal behavior of an investor who is forced to withdraw funds...
Simpson points in planar problems with locational constraints. The round-norm case
Simpson points in planar problems with locational constraints. The round-norm case
1997,
The Simpson set is one of the most popular solution concepts in location models with...
Simpson points in planar problems with locational constraints. The polyhedral-gauge case
Simpson points in planar problems with locational constraints. The polyhedral-gauge case
1997,
In this paper we address the problem of finding Simpson points in planar models with...
Nearly optimal competitive online replacement policies
Nearly optimal competitive online replacement policies
1997,
This paper studies the online replacement problem. In this problem an online player is...
A generalized stochastic differential utility
A generalized stochastic differential utility
2003,
This paper generalizes, in the setting of Brownian information, the...
Scheduling to minimize average completion time: Off-line and on-line approximation algorithms
Scheduling to minimize average completion time: Off-line and on-line approximation algorithms
1997,
In this paper we introduce two general techniques for the design and analysis of...
Stochastic scheduling with priority classes
Stochastic scheduling with priority classes
1998,
We consider controlled stochastic systems in which multiple job types (customers,...
Project scheduling in AND-OR graphs: A generalization of Dijkstra's algorithm
Project scheduling in AND-OR graphs: A generalization of Dijkstra's algorithm
2002,
The paper considers a project scheduling problem in weighted directed graphs in which...
Minimizing service and operation costs of periodic scheduling
Minimizing service and operation costs of periodic scheduling
2002,
We study the problem of scheduling activities of several types under the constraint...
Computing equilibria in finance economies
Computing equilibria in finance economies
2002,
The general equilibrium model with incomplete asset markets is ideally suited for the...
Semismooth matrix-valued functions
Semismooth matrix-valued functions
2002,
Matrix-valued functions play an important role in the development of algorithms for...
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