Keyword: stochastic processes

Found 1442 papers in total
Risk-sensitive and risk-neutral multiarmed bandits
Risk-sensitive and risk-neutral multiarmed bandits
2007,
For the multiarmed bandit, the classic result is probabilistic: each state of each...
A numerical method for survival probability of diffusion processes using semidefinite programming
A numerical method for survival probability of diffusion processes using semidefinite programming
2008,
Recently, some mathematical programming approaches have been proposed for numerical...
Wavelets for time series analysis – A survey and new results
Wavelets for time series analysis – A survey and new results
2005,
In the paper the stochastic properties of wavelet coefficients for time series,...
Weak approximation of stochastic differential equations and application to derivative pricing
Weak approximation of stochastic differential equations and application to derivative pricing
2008,
A new, simple algorithm of order 2 is presented to approximate weakly stochastic...
An inventory control project in a major Danish company using compound renewal demand models
An inventory control project in a major Danish company using compound renewal demand models
2008,
We describe the development of a framework to compute the optimal inventory policy for...
Modelling a general standby system and evaluation of its performance
Modelling a general standby system and evaluation of its performance
2008,
Redundancy or standby is a technique that has been widely applied to improving system...
Investigation of rolling horizon flexibility contracts in a supply chain under highly variable stochastic demand
Investigation of rolling horizon flexibility contracts in a supply chain under highly variable stochastic demand
2008,
A discrete-event simulation model of a supply chain has been developed to evaluate...
Integrating stochastic models and in situ sampling for monitoring soil carbon sequestration
Integrating stochastic models and in situ sampling for monitoring soil carbon sequestration
2007,
Participation in carbon (C) markets could provide farmers in developing countries...
What benefits are to be derived from improved farm program planning approaches? – The role of time series models and stochastic optimization
What benefits are to be derived from improved farm program planning approaches? – The role of time series models and stochastic optimization
2007,
This paper examines whether there is room for improvement in farm program decisions...
A systematic representation of crop rotations
A systematic representation of crop rotations
2008,
Crop rotations are allocations by growers of crop types to specific fields through...
A Stroock formula for a certain class of Lévy processes and applications to finance
A Stroock formula for a certain class of Lévy processes and applications to finance
2005,
We find a Stroock formula in the setting of generalized chaos expansion introduced by...
Optimal auditing in the banking industry
Optimal auditing in the banking industry
2008,
As a result of the new regulatory prescripts for banks, known as the Basel II Capital...
The second fundamental theorem of asset pricing
The second fundamental theorem of asset pricing
2007,
In the article we summarize the results about the second fundamental theorem of asset...
Constrained cost-coupled stochastic games with independent state processes
Constrained cost-coupled stochastic games with independent state processes
2008,
We study non-cooperative constrained stochastic games in which each player controls...
A Markovian decision model for optimizing a maintenance system with Coxian repair times and non-observable phases
A Markovian decision model for optimizing a maintenance system with Coxian repair times and non-observable phases
2001,
In this paper we analyze a manufacturing system with two different servers. The times...
A policy gradient method for semi-Markov decision processes with application to call admission control
A policy gradient method for semi-Markov decision processes with application to call admission control
2007,
Solving a semi-Markov decision process (SMDP) using value or policy iteration requires...
A single-period inventory placement problem for a supply chain with the expected profit objective
A single-period inventory placement problem for a supply chain with the expected profit objective
2007,
Consider the expected profit maximizing inventory placement problem in an N -stage,...
Optimizing an objective function under a bivariate probability model
Optimizing an objective function under a bivariate probability model
2007,
The motivation of this paper is to obtain an analytical closed form of a quadratic...
Minimizing the number of late jobs in a stochastic setting using a chance constraint
Minimizing the number of late jobs in a stochastic setting using a chance constraint
2008,
We consider the single-machine scheduling problem of minimizing the number of late...
Minimizing the number of tardy jobs with stochastically-ordered processing times
Minimizing the number of tardy jobs with stochastically-ordered processing times
2008,
We consider the single-machine sequencing model with stochastic processing times and...
Discrete time market with serial correlations and optimal myopic strategies
Discrete time market with serial correlations and optimal myopic strategies
2007,
The paper studies discrete time market models with serial correlations. We found a...
An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve
An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve
2007,
This paper presents a model for optimally designing a collateralized mortgage...
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...
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...
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