Keyword: stochastic processes

Found 1442 papers in total
Between First- and Second-Order Stochastic Dominance
Between First- and Second-Order Stochastic Dominance
2017,
We develop a continuum of stochastic dominance rules, covering preferences from...
Staffing large-scale service systems with distributional uncertainty
Staffing large-scale service systems with distributional uncertainty
2017,
This paper analyzes a staffing level problem for large‐scale...
A rate balance principle and its application to queueing models
A rate balance principle and its application to queueing models
2017,
We introduce a rate balance principle for general (not necessarily Markovian)...
A Higher-order interactive hidden Markov model and its applications
A Higher-order interactive hidden Markov model and its applications
2017,
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
Portfolio optimization for jump-diffusion risky assets with common shock dependence and state dependent risk aversion
2017,
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
Optimal control for a singularly perturbed linear stochastic system with multiplicative white noise perturbations and Markovian jumping
2017,
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
Assemble-to-Order Inventory Management via Stochastic Programming: Chained BOMs and the M-System
2017,
We study an inventory management mechanism that uses two stochastic programs (SPs),...
Multistage Stochastic Optimization for Production-Inventory Planning with Intermittent Renewable Energy
Multistage Stochastic Optimization for Production-Inventory Planning with Intermittent Renewable Energy
2017,
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
A conversive hidden non-Markovian model based structure for discriminating spatio-temporal movement trajectories
2017,
We present a new modelling approach for spatio‐temporal movement trajectories...
Optimal Dynamic Risk Taking
Optimal Dynamic Risk Taking
2017,
We analyze a continuous‐time stochastic control problem that arises in the...
A Generalization of the Borkar-Meyn Theorem for Stochastic Recursive Inclusions
A Generalization of the Borkar-Meyn Theorem for Stochastic Recursive Inclusions
2017,
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
A maximum principle for Markov regime-switching forward‐backward stochastic differential games and applications
2017,
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
Optimal mean‐variance asset-liability management with stochastic interest rates and inflation risks
2017,
This paper considers an optimal asset‐liability management problem with...
Error bounds for stochastic shortest path problems
Error bounds for stochastic shortest path problems
2017,
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
Mean‐variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
2017,
The efficient modeling of execution price path of an asset to be traded is an...
Hedging under generalized good-deal bounds and model uncertainty
Hedging under generalized good-deal bounds and model uncertainty
2017,
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
Nonlinear trend exclusion procedure for models defined by stochastic differential and difference equations
2017,
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
Stochastic optimality in the portfolio tracking problem involving investor’s temporal preferences
2017,
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
The stochastıc vikor method and its use in reverse logistic option selection problem
2017,
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
Unit commitment under uncertainty in AC transmission systems via risk averse semidefinite stochastic Programs
2017,
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
Analysis of [Formula: see text]-policy discrete-time Geo/G/1 queue with second J-optional service and unreliable server
2017,
This paper is concerned with a discrete‐time [Formula: see text] queueing...
Convex backorders of a rationing inventory policy with two different demand classes
Convex backorders of a rationing inventory policy with two different demand classes
2017,
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
A stochastic production inventory model for deteriorating items with products’ finite life-cycle
2017,
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
Robust stabilization of hybrid uncertain stochastic systems by discrete-time feedback control
2017,
This paper aims to stabilize hybrid stochastic differential equations with...
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