3期

最新文章

• Stability of multiclass queueing networks under FIFO service discipline AI翻译
  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...
• Numerical analysis of American option pricing in a jump-diffusion model AI翻译
  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.
• On lower bounds of the second-order directional derivatives of Ben-Tal, Zowe, and Chaney AI翻译
  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...