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作者：Chen, H; Zhang, HQ
作者单位：Hong Kong University of Science & Technology; Chinese Academy of Sciences
摘要：In this paper, we first formally identify a FIFO fluid network that corresponds to the queueing network under a first-in first-out (FIFO) service discipline, thus complementing the result of Dai (1995a) for the use of the fluid model for the stability of a multiclass queueing network under a FIFO service discipline. Then we establish two sufficient conditions for the stability of a multiclass FIFO queueing network. The results extend the previous work on the single class network, the single st...
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作者：Zhang, XL
摘要：We discuss pricing formulae for American options in Merton's jump-diffusion model. With the help of variational inequalities, we derive some regularity properties of price functions. Using the finite difference method, a discretization scheme is presented and a convergence theorem for the first order derivatives is proved. Numerical methods and results are also discussed.
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作者：Huang, LR; Ng, KF
作者单位：Chinese University of Hong Kong
摘要：Let f be a regular, locally Lipschitz real-valued function defined on an open convex subset of a normed space. We show that at any unit direction u, the upper second-order derivative D(+)(2)f(.;u, 0) (in the sense of Dem'yanov and Pevnyi 1974; Ben-Tal and Zowe 1982) has the same lower bounds as the lower second-order derivatives D(-)(2)f(.; u, 0). Consequently, one can characterize the convexity of f in terms of these derivatives. We also obtain the corresponding results in terms of Chaney's s...
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作者：Muller, A
摘要：The present work deals with the comparison of (discrete time) Markov decision processes (MDPs), which differ only in their transition probabilities. We show that the optimal value function of an MDP is monotone with respect to appropriately defined stochastic order relations. We also find conditions for continuity with respect to suitable probability metrics. The results are applied to some well-known examples, including inventory control and optimal stopping.
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作者：Nagamochi, H; Zeng, DZ; Kabutoya, N; Ibaraki, T
作者单位：Kagawa University
摘要：This paper studies the complexity of computing solution concepts for a cooperative game, called the minimum base game (MEG) (E, c), where its characteristic function c:2(E) --> N is defined as c(S) = (the weight w(B) of a minimum weighted base B subset of or equal to S), for a given matroid M=(E, J) and a weight function w: E --> N. The minimum base game contains, as a special case, the minimum spanning tree game (MSTG) in an edge-weighted graph in which players are located on the edges. By in...
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作者：Yushkevich, AA
摘要：The background for this paper is a dynamic programming model with a Borel state space and compact action sets. A new simple proof of the compactness of a space of measures corresponding to randomized stationary policies is given, in a topology induced by Caratheodory functions on the state-action space. For this purpose an extension theorem for Caratheodory functions is proved, which is a new version of the Tietze's extension theorem for continuous functions.
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作者：Goldfarb, D; Jin, ZY; Orlin, JB
作者单位：Massachusetts Institute of Technology (MIT)
摘要：This paper presents two new combinatorial algorithms for the generalized circulation problem. After an initial step in which all flow-generating cycles are canceled and excesses are created, both algorithms bring these excesses to the sink via highest-gain augmenting paths. Scaling is applied to the fixed amount of flow that the algorithms attempt to send to the sink, and both node and are excesses are used. The algorithms have worst-case complexities of O(m(2)(m + n log n) log B), where n is ...
