Keyword: stochastic processes

Found 1442 papers in total
An optimal maintenance time of automatic monitoring system of automatic teller machines with two kinds of breakdowns
An optimal maintenance time of automatic monitoring system of automatic teller machines with two kinds of breakdowns
2003,
All automatic teller machines (ATMs) in a bank operate unmanned on weekends and...
A discrete-time model of American put option in an uncertain environment
A discrete-time model of American put option in an uncertain environment
2003,
A discrete-time mathematical model for American put option with uncertainty is...
Distributed decision-making – a unified approach
Distributed decision-making – a unified approach
2003,
The paper gives an overview over the broad area of distributed decision making (DDM)....
A continuous-time Markov chain under the influence of a regulating point process and applications in stochastic models with catastrophes
A continuous-time Markov chain under the influence of a regulating point process and applications in stochastic models with catastrophes
2003,
We consider a continuous-time Markov chain {Ñ(t), t ⩾ 0} with state space S...
A decision support methodology for stochastic multi-criteria linear programming using spreadsheets
A decision support methodology for stochastic multi-criteria linear programming using spreadsheets
2003,
In recent years, tools for solving optimization problems have become widely available...
Managing electricity market price risk
Managing electricity market price risk
2003,
This paper introduces an application of financial risk management methods to the...
Bayesian inference for some Lanchester combat laws
Bayesian inference for some Lanchester combat laws
2003,
In this paper, we illustrate Bayesian statistical inference for some simple stochastic...
A new structural mechanism for reducibility of stochastic PERT networks
A new structural mechanism for reducibility of stochastic PERT networks
2003,
In recent years, many techniques were developed to compute completion time...
Simulation response optimization via an alternating variable method
Simulation response optimization via an alternating variable method
2003,
Simulation response optimization has wide applications for management of systems that...
A fuzzy-stochastic robust programming model for regional air quality management under uncertainty
A fuzzy-stochastic robust programming model for regional air quality management under uncertainty
2003,
This paper proposes a hybrid fuzzy-stochastic robust programming (FSRP) method and...
On the distribution of calls in a wireless network driven by fluid traffic
On the distribution of calls in a wireless network driven by fluid traffic
2003,
This note develops a modelling approach for wireless networks driven by fluid traffic...
Dual analysis on hedging Value at Risk of bond portfolio using options
Dual analysis on hedging Value at Risk of bond portfolio using options
2003,
In this paper, I propose the optimal hedging of bond portfolio VaR using bond options...
Using ranking and selection to “clean up” after simulation optimization
Using ranking and selection to “clean up” after simulation optimization
2003,
In this paper we address the problem of finding the simulated system with the best...
Optimal classification of highly-reliable products whose degradation paths satisfy Wiener processes
Optimal classification of highly-reliable products whose degradation paths satisfy Wiener processes
2003,
At the research and development stage of a product, the manufacturer usually faces the...
Gatekeepers and referrals in services
Gatekeepers and referrals in services
2003,
This paper examines services in which customers encounter a gatekeeper who makes an...
The logistics impact of a mixture of order-streams in a manufacturer–retailer system
The logistics impact of a mixture of order-streams in a manufacturer–retailer system
2003,
We model a supply chain with two retail warehouses that place replenishment orders...
Economic feasibility of bandwidth-sharing service with quality of service guarantees
Economic feasibility of bandwidth-sharing service with quality of service guarantees
2003,
Recent progress in quality-of-service (QoS) differentiating technology in...
Computing the bounds on the loss rates
Computing the bounds on the loss rates
2002,
We consider an example network where we compute the bounds on cell loss rates. The...
On busy periods of the unbounded Brownian storage
On busy periods of the unbounded Brownian storage
2001,
A stationary storage process with Brownian input and constant service rate is studied....
The finite element method for computing the stationary distribution of a semimartingale reflecting Brownian motion in a hypercube with applications to finite buffer queuing networks
The finite element method for computing the stationary distribution of a semimartingale reflecting Brownian motion in a hypercube with applications to finite buffer queuing networks
2002,
This paper proposes an algorithm, referred to as BNAfm (Brownian network analyzer with...
Weak convergence of a sequence of semimartingales to a diffusion with discontinuous drift and diffusion coefficients
Weak convergence of a sequence of semimartingales to a diffusion with discontinuous drift and diffusion coefficients
2002,
This paper presents a set of sufficient conditions for a sequence of semimartingales...
Continuous-review tracking policies for dynamic control of stochastic networks
Continuous-review tracking policies for dynamic control of stochastic networks
2003,
This paper is concerned with dynamic control of stochastic processing networks....
Estimation methods for delays in non-regenerative discrete-event systems
Estimation methods for delays in non-regenerative discrete-event systems
2003,
Many long-run delay characteristics of computer, communication, manufacturing, and...
Perturbed Markov processes
Perturbed Markov processes
2003,
A Markov process in discrete time is perturbed by a small parameter. A perturbation...
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