Keyword: stochastic processes
Between First- and Second-Order Stochastic Dominance
We develop a continuum of stochastic dominance rules, covering preferences from...
Staffing large-scale service systems with distributional uncertainty
This paper analyzes a staffing level problem for large‐scale...
A rate balance principle and its application to queueing models
We introduce a rate balance principle for general (not necessarily Markovian)...
A Higher-order interactive hidden Markov model and its applications
In this paper, we propose a higher‐order interactive hidden Markov model, which...
Portfolio optimization for jump-diffusion risky assets with common shock dependence and state dependent risk aversion
An optimal portfolio problem with one risk‐free asset and two...
Optimal control for a singularly perturbed linear stochastic system with multiplicative white noise perturbations and Markovian jumping
In this study, we investigate the optimal control of a class of singularly perturbed...
Assemble-to-Order Inventory Management via Stochastic Programming: Chained BOMs and the M-System
We study an inventory management mechanism that uses two stochastic programs (SPs),...
Multistage Stochastic Optimization for Production-Inventory Planning with Intermittent Renewable Energy
A growing number of companies install wind and solar generators in their...
A conversive hidden non-Markovian model based structure for discriminating spatio-temporal movement trajectories
We present a new modelling approach for spatio‐temporal movement trajectories...
Optimal Dynamic Risk Taking
We analyze a continuous‐time stochastic control problem that arises in the...
A Generalization of the Borkar-Meyn Theorem for Stochastic Recursive Inclusions
In this paper, the stability theorem of Borkar and Meyn is extended to include the...
A maximum principle for Markov regime-switching forward‐backward stochastic differential games and applications
In this paper, we present an optimal control problem for stochastic differential games...
Optimal mean‐variance asset-liability management with stochastic interest rates and inflation risks
This paper considers an optimal asset‐liability management problem with...
Error bounds for stochastic shortest path problems
Hansen Eric A
For stochastic shortest path problems, error bounds for value iteration due to...
Mean‐variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
The efficient modeling of execution price path of an asset to be traded is an...
Hedging under generalized good-deal bounds and model uncertainty
We study a notion of good‐deal hedging, that corresponds to good‐deal...
Nonlinear trend exclusion procedure for models defined by stochastic differential and difference equations
We consider a diffusion process and its approximation with a Markov chain whose trends...
Stochastic optimality in the portfolio tracking problem involving investor’s temporal preferences
We consider an optimal portfolio selection problem to track a riskless reference...
The stochastıc vikor method and its use in reverse logistic option selection problem
Aydogan Emel Kizilkaya
In this paper a new method, SMAA‐VIKOR, was proposed for stochastic...
Unit commitment under uncertainty in AC transmission systems via risk averse semidefinite stochastic Programs
This paper addresses unit commitment under uncertainty of load and power infeed from...
Analysis of [Formula: see text]-policy discrete-time Geo/G/1 queue with second J-optional service and unreliable server
This paper is concerned with a discrete‐time [Formula: see text] queueing...
Convex backorders of a rationing inventory policy with two different demand classes
We study the constant critical level policy for fast‐moving items of an...
A stochastic production inventory model for deteriorating items with products’ finite life-cycle
Sana Shib Sankar
The article deals with a production inventory system for deteriorating items where the...
Robust stabilization of hybrid uncertain stochastic systems by discrete-time feedback control
This paper aims to stabilize hybrid stochastic differential equations with...
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