Keyword: stochastic processes

Found 1442 papers in total
An asymptotic valuation for the option under a general stochastic volatility
An asymptotic valuation for the option under a general stochastic volatility
2002,
This article examines the valuation problem for the European option under a general...
Scheduling railway freight delivery appointments using a bid price approach
Scheduling railway freight delivery appointments using a bid price approach
2002,
This paper proposes a method for establishing aggressive but achievable delivery...
Traffic subflow estimation and bootstrap analysis from filtered counts
Traffic subflow estimation and bootstrap analysis from filtered counts
2002,
Traffic flow counts at different places are dependent due to vehicles travelling...
Road network toll pricing and social welfare
Road network toll pricing and social welfare
2002,
The construction and maintenance costs of a road network can be financed in part...
Queueing Networks: Customers, Signals and Product Form Solutions
Queueing Networks: Customers, Signals and Product Form Solutions
2001
Introduction to Stochastic Networks
Introduction to Stochastic Networks
2001
Strong result for real zeros of random algebraic polynomials
Strong result for real zeros of random algebraic polynomials
2001,
An estimate is given for the lower bound of real zeros of random algebraic polynomials...
The MX/G/1 queue with queue length dependent service times
The MX/G/1 queue with queue length dependent service times
2001,
We deal with the M X /G/1 queue where service times depend on the queue length at the...
A note on an integrated model of customer buying behavior
A note on an integrated model of customer buying behavior
2002,
We propose a simple benchmark model for the integrated stochastic model of buying...
Nonlinear stochastic programming by Monte-Carlo estimators
Nonlinear stochastic programming by Monte-Carlo estimators
2002,
Methods for solving stochastic programming (SP) problems by a finite series of...
Stochastic analysis of a two-unit system with vacation for the repair facility after m repairs
Stochastic analysis of a two-unit system with vacation for the repair facility after m repairs
2000,
Stochastic analysis of a two unit system with vacation period for the repair facility...
Markov modulated fluid queues with batch fluid arrivals
Markov modulated fluid queues with batch fluid arrivals
2001,
In the conventional Markov modulated fluid queue, the buffer content process has a...
Minimizing holding and ordering costs subject to a bound on backorders is as easy as solving a single backorder cost model
Minimizing holding and ordering costs subject to a bound on backorders is as easy as solving a single backorder cost model
2001,
Minimizing average ordering and holding cost subject to a constraint on expected...
Reliability of several component sets with inspections at random times
Reliability of several component sets with inspections at random times
2002,
We consider a random process which represents a system of components with constant...
Polling systems with simultaneous batch arrivals
Polling systems with simultaneous batch arrivals
2001,
We study the delay in polling systems with simultaneous batch arrivals. Arrival epochs...
Stability in queues with impatient customers
Stability in queues with impatient customers
2001,
This paper deals with GI/G/1 queueing systems with impatient customers that have...
Reducing delay in preemptive repeat priority queues
Reducing delay in preemptive repeat priority queues
2001,
The classical model of the preemptive repeat priority queue assumes that there is a...
Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence
Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence
2001,
This paper establishes the rate of convergence (in the uniform Kolmogorov distance)...
Computing the optimal replenishment policy for inventory systems with random discount opportunities
Computing the optimal replenishment policy for inventory systems with random discount opportunities
2001,
The paper considers the optimal control of a single-item continuous-review inventory...
Towards ‘zero abandonments’ in call center performance
Towards ‘zero abandonments’ in call center performance
2001,
The call center industry is a big business in today's global economy. Staffing costs...
Simulation model of multi-compartment distribution in the catering supply chain
Simulation model of multi-compartment distribution in the catering supply chain
2001,
An efficient distribution system of high performance is needed to anticipate market...
Application of the fuzzy–stochastic methodology to appraising the firm value as a European call option
Application of the fuzzy–stochastic methodology to appraising the firm value as a European call option
2001,
The valuing of a firm equity as a call option is a crucial problem in financial...
Linear-implicit strong schemes for Itô–Galerkin approximations of parabolic stochastic partial differential equations
Linear-implicit strong schemes for Itô–Galerkin approximations of parabolic stochastic partial differential equations
2001,
Linear-implicit versions of strong Taylor numerical schemes for finite dimensional...
Stability and performance of stack algorithms for random access communication modeled as a tree structured quasi birth–death Markov chain
Stability and performance of stack algorithms for random access communication modeled as a tree structured quasi birth–death Markov chain
2001,
In this paper, we introduce an analytical model to study the stability and the main...
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