Keyword: stochastic processes

Found 1442 papers in total
Markov chains satisfying simple drift conditions for subgeometric ergodicity
Markov chains satisfying simple drift conditions for subgeometric ergodicity
2001,
This paper is concerned with ergodic Markov chains satisfying a sequence of drift...
An approximate method for solving stochastic two-stage programming problems
An approximate method for solving stochastic two-stage programming problems
2000,
A procedure for solving stochastic two-stage programming problems has been developed....
Norton's theorem for batch routing queueing networks
Norton's theorem for batch routing queueing networks
2001,
This paper shows that the aggregation and decomposition results known as Norton's...
Sojourn times in non-homogeneous quasi birth–death processes with processor sharing
Sojourn times in non-homogeneous quasi birth–death processes with processor sharing
2001,
We study sojourn times of customers in a processor sharing queue with a service rate...
A transaction cost convergence result for general hedging strategies
A transaction cost convergence result for general hedging strategies
2001,
This paper focuses on the valuation of financial derivatives with transaction costs....
Conditional investment policy under uncertainty and irreversibility
Conditional investment policy under uncertainty and irreversibility
2001,
An irreversible investment decision, such as fixing a defective equipment is...
European option pricing with general transaction costs and short-selling constraints
European option pricing with general transaction costs and short-selling constraints
2001,
In this paper, we study the problem of European Option Pricing in a market with...
Analysis of third-party warehousing contracts with commitments
Analysis of third-party warehousing contracts with commitments
2001,
This paper considers multi-period warehousing contracts under random space demand. A...
Approximations for Markov chains with upper Hessenberg transition matrices
Approximations for Markov chains with upper Hessenberg transition matrices
2001,
We present an approximation for the stationary distribution π of a countably...
A model for a dynamic preventive maintenance policy
A model for a dynamic preventive maintenance policy
2000,
This paper exhibits a stochastic model which describes the evolution of a material...
A compound dependability measure arising from semi-Markov reliability model
A compound dependability measure arising from semi-Markov reliability model
2000,
A compound dependability measure is proposed and analyzed under the Markovian...
Combined production and maintenance scheduling for a multiple-product, single machine production system
Combined production and maintenance scheduling for a multiple-product, single machine production system
2000,
Traditionally, the problems of equipment maintenance scheduling and production...
On–off fluid models in heavy traffic environment
On–off fluid models in heavy traffic environment
1999,
We consider fluid models with infinite buffer size. The net input rate to the buffer...
Contributions to the theory of first-exit times of some compound processes in queueing theory
Contributions to the theory of first-exit times of some compound processes in queueing theory
1999,
We consider compound processes that are linear with constant slope between i.i.d....
Analytical valuation of American-style Asian options
Analytical valuation of American-style Asian options
2000,
This article derives the first analytical pricing formulas for American-style Asian...
Risk-constrained dynamic active portfolio management
Risk-constrained dynamic active portfolio management
2000,
Active portfolio management is concerned with objectives related to the outperformance...
Management of antiretroviral therapy for HIV infection: Analyzing when to change therapy
Management of antiretroviral therapy for HIV infection: Analyzing when to change therapy
2000,
We analyze two joint decisions in the management of HIV-infected patients on...
A heavy traffic approximation for workload processes with heavy tailed service requirements
A heavy traffic approximation for workload processes with heavy tailed service requirements
2000,
A system with heavy tailed service requirements under heavy load having a single...
Nonparametric estimation of the cumulative intensity function for a nonhomogeneous Poisson process from overlapping realizations
Nonparametric estimation of the cumulative intensity function for a nonhomogeneous Poisson process from overlapping realizations
2000,
A nonparametric technique for estimating the cumulative intensity function of a...
Stochastic prediction in multinomial logit models
Stochastic prediction in multinomial logit models
2000,
It is standard practice to form predictions from multinomial logit models by ignoring...
Short-term variations and long-term dynamics in commodity prices
Short-term variations and long-term dynamics in commodity prices
2000,
In this article, we develop a two-factor model of commodity prices that allows...
Perishable asset revenue management with Markovian time dependent demand intensities
Perishable asset revenue management with Markovian time dependent demand intensities
2000,
Many industries face the problem of selling a fixed stock of items over a finite...
A continuous-time yield management model with multiple prices and reversible price changes
A continuous-time yield management model with multiple prices and reversible price changes
2000,
This article studies a continuous-time yield management model in which reversible...
Capacitated inventory problems with fixed order costs: Some optimal policy structure
Capacitated inventory problems with fixed order costs: Some optimal policy structure
2000,
Almost 40 years ago, H. Scarf established the optimal (s,S) policy structure for the...
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