Keyword: stochastic processes

Found 1442 papers in total
A realised volatility measurement using quadratic variation and dealing with microstructure effects
A realised volatility measurement using quadratic variation and dealing with microstructure effects
2006,
A volatility measurement that overcomes the respective problems encountered when...
Stochastic inventory management at a service facility with a set of reorder levels
Stochastic inventory management at a service facility with a set of reorder levels
2007,
We consider a continuous review perishable inventory system at a service facility with...
Technology choice and timing with positive network effects
Technology choice and timing with positive network effects
2006,
When two competing and incompatible products coexist in a market, potential users face...
A flexible extended warranty and related optimal strategies
A flexible extended warranty and related optimal strategies
2007,
The choice of extended warranties (EWs) currently available to consumers is extremely...
Preventive maintenance for inspected systems with additive subexponential shock magnitudes
Preventive maintenance for inspected systems with additive subexponential shock magnitudes
2007,
We examine the long-run average availability and cost rate of a maintained system...
Single-machine scheduling to stochastically minimize maximum lateness
Single-machine scheduling to stochastically minimize maximum lateness
2007,
We study the problem of scheduling a set of jobs on a single machine, to minimize the...
Long swings in exchange rates: a stochastic control approach
Long swings in exchange rates: a stochastic control approach
2007,
A regime-switching model to describe the exchange rate dynamics is derived as solution...
A semi-Markov model of disease recurrence in insured dogs
A semi-Markov model of disease recurrence in insured dogs
2007,
We use a semi-Markov model to analyse the stochastic dynamics of disease occurrence of...
Estimating bus passenger waiting times from incomplete bus arrivals data
Estimating bus passenger waiting times from incomplete bus arrivals data
2007,
This paper considers the problem of estimating bus passenger waiting times at bus...
Manufacturer’s pricing strategies in a single-period framework under price-dependent stochastic demand with asymmetric risk-preference information
Manufacturer’s pricing strategies in a single-period framework under price-dependent stochastic demand with asymmetric risk-preference information
2007,
This paper considers a single-period problem designed to analyse the pricing strategy...
A stochastic beam search for the berth allocation problem
A stochastic beam search for the berth allocation problem
2007,
In this paper, the optimization of the Berth Allocation Problem (BAP) is transformed...
Stochastic programming and scenario generation within a simulation framework: An information systems perspective
Stochastic programming and scenario generation within a simulation framework: An information systems perspective
2007,
Stochastic programming brings together models of optimum resource allocation and...
Flexible facility interior layout: a real options approach
Flexible facility interior layout: a real options approach
2007,
This paper explores a case of flexible facility layout, in which the layout process...
Competitive advantage and the cost of equity in international shipping
Competitive advantage and the cost of equity in international shipping
2007,
This paper examines the relationship between dividend-based and earnings-based cost of...
Hybrid particle swarm optimizer for a class of dynamic fitness landscape
Hybrid particle swarm optimizer for a class of dynamic fitness landscape
2006,
This article presents the use of particle swarm optimization (PSO) for a class of...
SOR '07 Proceedings
SOR '07 Proceedings
2007,
The Slovenian Society ‘Informatika’ has a section for Operational...
Optimal system burn-in for maximizing reliability of non-series systems
Optimal system burn-in for maximizing reliability of non-series systems
2007,
The decision of how long performing system burn-in must be answered with a...
Single-machine scheduling with general costs under compound-type distributions
Single-machine scheduling with general costs under compound-type distributions
2007,
We investigate the problem of scheduling n jobs on a single machine with the following...
Modelling locational price spreads in competitive electricity markets; applications for transmission rights valuation and replication
Modelling locational price spreads in competitive electricity markets; applications for transmission rights valuation and replication
2004,
The restructuring of the electric utilities industry has forced industry participants...
Sizing backbone internet links
Sizing backbone internet links
2005,
One of the distinguishing features of a backbone link is that it is designed to carry...
A stochastic frontier approach to running performance
A stochastic frontier approach to running performance
2005,
Long-distance running performance depends on age of the runner and race distance. In...
How useful is commonality? Inventory and production decisions to maximize survival probability in start-ups
How useful is commonality? Inventory and production decisions to maximize survival probability in start-ups
2003,
This paper deals with component commonality in start-up manufacturing firms. We...
Relaxations of linear programming problems with first order stochastic dominance constraints
Relaxations of linear programming problems with first order stochastic dominance constraints
2006,
Linear stochastic programming problems with first order stochastic dominance (FSD)...
On stochastic decomposition in the GI/M/1 queue with single exponential vacation
On stochastic decomposition in the GI/M/1 queue with single exponential vacation
2006,
We consider a GI/M/1 queueing system in which the server takes exactly one exponential...
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