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作者：Bensoussan, Alain; Liu, John J.; Yuan, Jiguang
作者单位：University of Texas System; University of Texas Dallas; Hong Kong Polytechnic University
摘要：In this paper, we develop a splitting solution method for two-sided impulse control of Brownian motion, which leads to an expanding range of band control applications and studies, such as monetary reserves (including the previously studied cash management problem, exchange rate control in central banks, and marine mutual insurance reserves), inventory systems, and lately natural resources and energy reservation. It has been shown since earlier studies in 1970s that the optimal two-sided impuls...
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作者：Feng, Yinbo; Hu, Ming
作者单位：Shanghai University of Finance & Economics; University of Toronto
摘要：We consider a three-stage game in which, first, a large number of potential firms make entry decisions, then those who choose to stay in the market decide on the investment (quality) level in each product, and last, customers with heterogeneous preferences arrive sequentially to make (random) purchase decisions based on product quality and historical sales under the network effect according to a discrete choice model. We characterize such a random purchase process and show that a growing netwo...
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作者：Chen, Xinyun; Liu, Yunan; Hong, Guiyu
作者单位：The Chinese University of Hong Kong, Shenzhen; North Carolina State University
摘要：We study a dynamic pricing and capacity sizing problem in a GI/GI/1 queue, in which the service provider's objective is to obtain the optimal service fee p and service capacity mu so as to maximize the cumulative expected profit (the service revenue minus the staffing cost and delay penalty). Because of the complex nature of the queueing dynamics, such a problem has no analytic solution so that previous research often resorts to heavy-traffic analysis in which both the arrival and service rate...
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作者：Gallego, Guillermo; Li, Anran
作者单位：The Chinese University of Hong Kong, Shenzhen; Chinese University of Hong Kong
摘要：In this paper, we operationalize the random consideration set (RCS) choice model proposed by Manzini and Mariotti which assumes that consumers make purchase decisions based on a fixed preference ordering and random consideration sets drawn from independent attention probabilities. We provide a necessary condition, a sufficient condition, and a fast algorithm to estimate preference ordering and attention probabilities from sales transaction data, thereby uniquely identifying the model parameter...
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作者：Shapiro, Alexander; Pichler, Alois
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：Many decisions, in particular decisions in a managerial context, are subject to uncertainty. Risk measures cope with uncertainty by involving more than one candidate probability. The corresponding risk averse decision takes all potential candidate probabilities into account and is robust with respect to all potential probabilities. This paper considers conditional robust decision making, where decisions are subject to additional prior knowledge or information. The literature discusses various ...
