Keyword: stochastic processes

Found 1442 papers in total
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...
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...
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...
Estimation and decomposition of cost efficiency in the health care food service sector: an extended stochastic frontier approach
Estimation and decomposition of cost efficiency in the health care food service sector: an extended stochastic frontier approach
2008,
This paper introduces and implements an extended stochastic frontier model to estimate...
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...
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...
Sample-path analysis of the proportional relation and its constant for discrete-time single-server queues
Sample-path analysis of the proportional relation and its constant for discrete-time single-server queues
2006,
In the previous work, the authors have considered a discrete-time queueing system and...
Stability of retrial queues with versatile retrial policy
Stability of retrial queues with versatile retrial policy
2006,
We consider in this paper the stability of retrial queues with a versatile retrial...
Learning genetic algorithm parameters using hidden Markov models
Learning genetic algorithm parameters using hidden Markov models
2006,
Genetic algorithms (GAs) are routinely used to search problem spaces of interest. A...
On the exact distribution of a delayed renewal process with exponential sum interarrival times
On the exact distribution of a delayed renewal process with exponential sum interarrival times
2006,
The paper develops the exact probability functions of a delayed renewal process whose...
System delay versus system content for discrete-time queueing systems subject to server interruptions
System delay versus system content for discrete-time queueing systems subject to server interruptions
2006,
This paper concerns discrete-time queueing systems operating under a...
Stochastic decomposition of the M/G/∞ queue in a random environment
Stochastic decomposition of the M/G/∞ queue in a random environment
2007,
We prove a stochastic decomposition formula for the number of customers in an...
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...
Model-based clustering for integrated circuit yield enhancement
Model-based clustering for integrated circuit yield enhancement
2007,
This paper studies the defect data analysis method for semiconductor yield...
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...
Single machine scheduling under market uncertainty
Single machine scheduling under market uncertainty
2007,
This paper considers single machine scheduling problems where job processing times are...
A reliability assessment tool for distributed software development environment based on Java and J/Link
A reliability assessment tool for distributed software development environment based on Java and J/Link
2006,
In this paper, we propose a software reliability assessment tool based on software...
A branch-and-price algorithm for the capacitated vehicle routing problem with stochastic demands
A branch-and-price algorithm for the capacitated vehicle routing problem with stochastic demands
2007,
This article introduces a new exact algorithm for the capacitated vehicle routing...
Farmer management of production risk on degraded lands: the role of wheat variety diversity in the Tigray region, Ethiopia
Farmer management of production risk on degraded lands: the role of wheat variety diversity in the Tigray region, Ethiopia
2007,
This article investigates the effects of wheat genetic diversity and land degradation...
A finite population model and product-form approximation for cellular mobile systems with traveling users
A finite population model and product-form approximation for cellular mobile systems with traveling users
2007,
We propose a new finite population model for cellular mobile systems with traveling...
An invitation to market-based option pricing and its applications
An invitation to market-based option pricing and its applications
2007,
This article provides an overview of market-based option pricing and its applications....
Search allocation game
Search allocation game
2006,
This paper deals with a two-person zero-sum game called search allocation game (SAG),...
Zero-sum stochastic games with stopping and control
Zero-sum stochastic games with stopping and control
2007,
We study a zero-sum stochastic game where each player uses both control and stopping...
Open-loop control of stochastic fluid systems and applications
Open-loop control of stochastic fluid systems and applications
2007,
We consider a stochastic process Q(t) satisfying a linear differential equation,...
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