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作者：Chockalingam, Arun; Muthuraman, Kumar
作者单位：Purdue University System; Purdue University; University of Texas System; University of Texas Austin
摘要：The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrate that volatility is not constant, and stochastic volatility models are used to account for dynamic volatility changes. Option pricing methods that have been developed in literature for pricing under stochastic volatility focus mostly on European options. We consider the problem of pricing American options under ...
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作者：Shanbhag, Uday V.; Infanger, Gerd; Glynn, Peter W.
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Stanford University
摘要：We consider a particular instance of a stochastic multi-leader multi-follower equilibrium problem in which players compete in the forward and spot markets in successive periods. Proving the existence of such equilibria has proved difficult, as has the construction of globally convergent algorithms for obtaining such points. By conjecturing a relationship between forward and spot decisions, we consider a variant of the original game and relate the equilibria of this game to a related simultaneo...
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作者：Liu, Yunan; Whitt, Ward
作者单位：Columbia University
摘要：To describe the congestion in large-scale service systems, we introduce and analyze a non-Markovian open network of many-server fluid queues with customer abandonment, proportional routing, and time-varying model elements. Proportions of the fluid completing service from each queue are immediately routed to the other queues, with the fluid not routed to one of the queues being immediately routed out of the network. The fluid queue network serves as an approximation for the corresponding non-Ma...
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作者：Chen, Li; He, Simai; Zhang, Shuzhong
作者单位：Chinese University of Hong Kong; City University of Hong Kong; University of Minnesota System; University of Minnesota Twin Cities
摘要：In this paper we develop tight bounds on the expected values of several risk measures that are of interest to us. This work is motivated by the robust optimization models arising from portfolio selection problems. Indeed, the whole paper is centered around robust portfolio models and solutions. The basic setting is to find a portfolio that maximizes (respectively, minimizes) the expected utility (respectively, disutility) values in the midst of infinitely many possible ambiguous distributions ...
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作者：Parker, Rodney P.; Kapuscinski, Roman
作者单位：University of Chicago; University of Michigan System; University of Michigan
摘要：We consider a two-stage serial supply chain with capacity limits, where each installation is operated by managers attempting to minimize their own costs. A multiple-period model is necessitated by the multiple stages, capacity limits, stochastic demand, and the explicit consideration of inventories. With appropriate salvage value functions, a Markov equilibrium policy is found. Intuitive profit dominance allows for existence of a unique equilibrium solution, which is shown to be a modified ech...
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作者：Bayraksan, Guezin; Morton, David P.
作者单位：University of Arizona; University of Texas System; University of Texas Austin
摘要：We develop a sequential sampling procedure for a class of stochastic programs. We assume that a sequence of feasible solutions with an optimal limit point is given as input to our procedure. Such a sequence can be generated by solving a series of sampling problems with increasing sample size, or it can be found by any other viable method. Our procedure estimates the optimality gap of a candidate solution from this sequence. If the point estimate of the optimality gap is sufficiently small acco...
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作者：Kostamis, Dimitris; Duenyas, Izak
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Michigan System; University of Michigan
摘要：We study a supply chain consisting of one supplier and one OEM (original equipment manufacturer). The OEM faces stochastic demand for a final product that requires assembly of two major components, one of which is procured exclusively from the supplier. In the absence of competition, the supplier is able to make a take-it-or-leave-it offer to the OEM in the form of a menu of price-quantity contracts. The OEM possesses private information across two dimensions: (1) demand forecasts about the fi...
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作者：Huh, Woonghee Tim; Levi, Retsef; Rusmevichientong, Paat; Orlin, James B.
作者单位：University of British Columbia; Massachusetts Institute of Technology (MIT); Cornell University
摘要：Using the well-known product-limit form of the Kaplan-Meier estimator from statistics, we propose a new class of nonparametric adaptive data-driven policies for stochastic inventory control problems. We focus on the distribution-free newsvendor model with censored demands. The assumption is that the demand distribution is not known and there are only sales data available. We study the theoretical performance of the new policies and show that for discrete demand distributions they converge almo...
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作者：Yankovic, Natalia; Green, Linda V.
作者单位：Columbia University
摘要：Nursing care is arguably the single biggest factor in both the cost of hospital care and patient satisfaction. Inadequate inpatient nursing levels have also been cited as a significant factor in medical errors and emergency room overcrowding. Yet, there is widespread dissatisfaction with the current methods of determining nurse staffing levels, including the most common one of using minimum nurse-to-patient ratios. In this paper, we represent the nursing system as a variable finite-source queu...
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作者：Caramia, Massimiliano; Giordani, Stefano
作者单位：University of Rome Tor Vergata
摘要：Allocating resources in grid computing requires local and external schedulers to communicate in order to achieve an efficient management of the resources themselves. To this end, some economic/market-based models have been introduced in the literature, where users, external schedulers, and local schedulers negotiate to optimize their objectives. In this paper, we propose a tender/contract-net model for the grid resource allocation problem, showing the interactions among the involved actors. Th...
