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作者：Martyr, Randall
作者单位：University of London; Queen Mary University London
摘要：This paper is concerned with optimal switching over multiple modes in continuous time and on a finite horizon. The performance index includes a running reward, terminal reward, and switching costs that can belong to a large class of stochastic processes. Particularly, the switching costs are modelled by right-continuous with left-limits processes that are quasi-left-continuous and can take positive and negative values. We provide sufficient conditions leading to a well known probabilistic repr...
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作者：Chen, Qin; Chen, Xujin; Zang, Wenan
作者单位：China Jiliang University; Chinese Academy of Sciences; University of Hong Kong
摘要：Let G be a digraph and let pi(G) be the linear system consisting of nonnegativity, stability, and domination inequalities. We call G kernel ideal if pi(H) defines an integral polytope for each induced subgraph H of G, and we call G kernel Mengerian if pi(H) is totally dual integral (TDI) for each induced subgraph H of G. In this paper we show that a digraph is kernel ideal iff it is kernel Mengerian iff it contains none of three forbidden structures; our characterization yields a polynomial-ti...
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作者：Gapeev, Pavel V.
作者单位：University of London; London School Economics & Political Science
摘要：The switching multiple disorder problem seeks to determine an ordered infinite sequence of times of alarms which are as close as possible to the unknown times of disorders, or change-points, at which the observable process changes its probability characteristics. We study a Bayesian formulation of this problem for an observable Brownian motion with switching constant drift rates. The method of proof is based on the reduction of the initial problem to an associated optimal switching problem for...
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作者：Goldberg, David A.; Katz-Rogozhnikov, Dmitriy A.; Lu, Yingdong; Sharma, Mayank; Squillante, Mark S.
作者单位：University System of Georgia; Georgia Institute of Technology; International Business Machines (IBM); IBM USA; International Business Machines (IBM); IBM USA
摘要：Lost sales inventory models with large lead times, which arise in many practical settings, are notoriously difficult to optimize due to the curse of dimensionality. In this paper, we show that when lead times are large, a very simple constant-order policy, first studied by Reiman, performs nearly optimally. The main insight of our work is that when the lead time is very large, such a significant amount of randomness is injected into the system between when an order for more inventory is placed...
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作者：Skutella, Martin; Sviridenko, Maxim; Uetz, Marc
作者单位：Technical University of Berlin; Yahoo! Inc; University of Twente
摘要：Two important characteristics encountered in many real-world scheduling problems are heterogeneous processors and a certain degree of uncertainty about the processing times of jobs. In this paper we address both, and study for the first time a scheduling problem that combines the classical unrelated machine scheduling model with stochastic processing times of jobs. By means of a novel time-indexed linear programming relaxation, we show how to compute in polynomial time a scheduling policy with...
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作者：Dai, Min; Yang, Zhou; Zhang, Qing; Zhu, Qiji Jim
作者单位：National University of Singapore; National University of Singapore; South China Normal University; University System of Georgia; University of Georgia; Western Michigan University
摘要：This paper is concerned with the optimality of a trend following trading rule. The underlying market is modeled like a bull-bear switching market in which the drift of the stock price switches between two states:the uptrend (bull market) and the down trend (bear market). We consider the case when the market mode is not directly observable and model the switching process as a hidden Markov chain. This is a continuation of our earlier study reported in Dai et al. [Dai M, Zhang Q, Zhu Q (2010) Tr...
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作者：Cheridito, Patrick; Horst, Ulrich; Kupper, Michael; Pirvu, Traian A.
作者单位：Princeton University; Humboldt University of Berlin; University of Konstanz; McMaster University
摘要：We propose a general discrete-time framework for deriving equilibrium prices of financial securities. It allows for heterogeneous agents, unspanned random endowments, and convex trading constraints. We give a dual characterization of equilibria and provide general results on their existence and uniqueness. In the special case where all agents have preferences of the same type and in equilibrium, all random endowments are replicable by trading in the financial market, we show that a one-fund th...
