Keyword: stochastic processes

Found 1442 papers in total
Multiclass polling systems with Markovian feedback: Mean sojourn times in gated and exhaustive systems with local priority and FCFS service orders
Multiclass polling systems with Markovian feedback: Mean sojourn times in gated and exhaustive systems with local priority and FCFS service orders
2005,
We consider polling systems in which a single server visits stations in cyclic order...
The LIBOR model dynamics: Approximations, calibration and diagnostics
The LIBOR model dynamics: Approximations, calibration and diagnostics
2005,
In this paper we consider several parametric assumptions for the instantaneous...
On pricing of credit spread options
On pricing of credit spread options
2005,
This paper describes and analyses different pricing models for credit spread options...
Stochastic mathematical programs with equilibrium constraints
Stochastic mathematical programs with equilibrium constraints
1999,
We introduce stochastic mathematical programs with equilibrium constraints (SMPEC),...
On stages and consistency checks in stochastic programming
On stages and consistency checks in stochastic programming
2005,
This paper gives a rigorous definition of a stage, usable for dynamic stochastic...
A multi-product continuous review inventory system with stochastic demand, backorders, and a budget constraint
A multi-product continuous review inventory system with stochastic demand, backorders, and a budget constraint
2004,
Common characteristics of inventory systems include uncertain demand and restrictions...
Statistical performance of a multiclass bulk production queueing system
Statistical performance of a multiclass bulk production queueing system
2004,
In this paper, we discuss how to statistically analyze a make-to-stock production...
The Polya–Aeppli process and ruin problems
The Polya–Aeppli process and ruin problems
2004,
The Polya–Aeppli process as a generalization of the homogeneous Poisson process...
Mathematical model of optimal payouts under non-linear demand curve
Mathematical model of optimal payouts under non-linear demand curve
2004,
In this study, a mathematical model that shows the optimal payout policy is developed....
Mode-pursuing sampling method for global optimization on expensive black-box functions
Mode-pursuing sampling method for global optimization on expensive black-box functions
2004,
The presence of black-box functions in engineering design, which are usually...
Sequential stochastic comparison algorithm for simulation optimization
Sequential stochastic comparison algorithm for simulation optimization
2004,
Developing efficient methods for solving discrete simulation optimization problems is...
An evolutionary algorithm to generate alternatives (EAGA) for engineering optimization problems
An evolutionary algorithm to generate alternatives (EAGA) for engineering optimization problems
2004,
Typically for a real optimization problem, the optimal solution to a mathematical...
Recursive estimation of the claim rates and sizes in an insurance model
Recursive estimation of the claim rates and sizes in an insurance model
2004,
It is a common fact that for most classes of general insurance, many possible sources...
On the application of stochastic models in nuclear power plant maintenance
On the application of stochastic models in nuclear power plant maintenance
2004,
Whereas Philip A. Scarf's effort can be seen as an “appeal to Maintenance...
Stochastic Models in Reliability and Maintenance
Stochastic Models in Reliability and Maintenance
2004,
A stochastic programming model to find optimal sample sizes to estimate unknown parameters in a linear program
A stochastic programming model to find optimal sample sizes to estimate unknown parameters in a linear program
2004,
An LP is considered where the technology coefficients are unknown and random samples...
Optimal incentive-compatible pricing for M/G/1 queues
Optimal incentive-compatible pricing for M/G/1 queues
2003,
This paper extends the applicability of the pricing results of Mendelson and Whang,...
Managing individual customer service constraints under stochastic demand
Managing individual customer service constraints under stochastic demand
1999,
In recent years management of customer requirements has been the foremost concern of...
Sequential condition-based maintenance scheduling for a deteriorating system
Sequential condition-based maintenance scheduling for a deteriorating system
2003,
This paper deals with a continuously deteriorating system which is inspected at random...
An optimal hostage rescue problem
An optimal hostage rescue problem
2003,
This paper proposes the following mathematical models for an optimal rescue problem...
Reliability of software with an operational profile
Reliability of software with an operational profile
2003,
This article provides the stochastic and statistical framework to model software...
Software reliability and cost models: Perspectives, comparison, and practice
Software reliability and cost models: Perspectives, comparison, and practice
2003,
Computer software has gradually become an indispensable element in many aspects of our...
A contribution to the stochastic flow shop scheduling problem
A contribution to the stochastic flow shop scheduling problem
2003,
This paper deals with performance evaluation and scheduling problems in m machine...
When greediness fails: examples from stochastic scheduling
When greediness fails: examples from stochastic scheduling
2003,
The purpose of this paper is to present examples for the sometimes surprisingly...
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