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作者：Banerjee, Tathagata; Feinstein, Zachary
作者单位：Washington University (WUSTL); Stevens Institute of Technology
摘要：In this paper, we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting provides a lower bound and Jensen???s inequality provides an upper bound to the price of debt under Eisenberg-Noe financial networks with bankruptcy costs. Such financial networks encode the interconnection of firms through debt claims. The proposed pricing formulas consider the realized, endogenous recovery rate on de...
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作者：Dal Sasso, Veronica; Lamorgese, Leonardo; Mannino, Carlo; Tancredi, Antonio; Ventura, Paolo
作者单位：SINTEF; University of Oslo; Consiglio Nazionale delle Ricerche (CNR)
摘要：A deadlock occurs when two or more trains are preventing each other from moving forward by occupying the required tracks. Deadlocks are rare but pernicious events in railroad operations and, in most cases, are caused by human errors. Recovering is a time-consuming and costly operation, producing large delays and often requiring crew rescheduling and complex switching moves. In practice, most deadlocks involve only two long trains missing their last potential meet location. In this paper, we pr...
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作者：Cao, Yufeng; Kleywegt, Anton J.; Wang, He
作者单位：Shanghai Jiao Tong University; University System of Georgia; Georgia Institute of Technology
摘要：Airline booking data have shown that the fraction of customers who choose the cheapest available fare class often is much greater than that predicted by the multinomial logit choice model calibrated with the data. For example, the fraction of customers who choose the cheapest available fare class is much greater than the fraction of customers who choose the next cheapest available one, even if the price difference is small. To model this spike in demand for the cheapest available fare class, a...
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作者：Zhu, Ziwei; Li, Xudong; Wang, Mengdi; Zhang, Anru
作者单位：University of Michigan System; University of Michigan; Fudan University; Fudan University; Princeton University; Princeton University; University of Wisconsin System; University of Wisconsin Madison; Duke University
摘要：Modeling unknown systems from data is a precursor of system optimization and sequential decision making. In this paper, we focus on learning a Markov model from a single trajectory of states. Suppose that the transition model has a small rank despite having a large state space, meaning that the system admits a low-dimensional latent structure. We show that one can estimate the full transition model accurately using a trajectory of length that is proportional to the total number of states. We p...
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作者：Aouad, Ali; Saritac, Omer
作者单位：University of London; London Business School
摘要：In centralized matching markets such as carpooling platforms and kidney exchange schemes, new participants constantly enter the market and remain available for potential matches during a limited period of time. To reach an efficient allocation, the ???timing??? of the matching decisions is a critical aspect of the platform???s operations. There is a fundamental tradeoff between increasing market thickness and mitigating the risk that participants abandon the market. Nonetheless, the dynamic pr...
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作者：Shen, Xiaobei; Yu, Yimin; Huh, Woonghee Tim
作者单位：Chinese Academy of Sciences; University of Science & Technology of China, CAS; City University of Hong Kong; University of British Columbia
摘要：We consider optimal inventory replenishment policies for capacitated 2-echelon serial inventory systems, where the capacity of upstream echelon can be the bottleneck. We show that the optimal replenishment decisions in each period can be made one echelon at a time by introducing a procedure that can sequentially decompose a multidimensional optimization problem to a series of one-dimensional problems. We also introduce the no-tion of permutation-dependent separability. A permutation-dependent ...
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作者：Pavone, Marco; Saberi, Amin; Schiffer, Maximilian; Tsao, Matt Wu
作者单位：Stanford University; Stanford University; Technical University of Munich; Technical University of Munich; Stanford University
摘要：We study an online hypergraph matching problem inspired by ridesharing and delivery applications. The vertices of a hypergraph are revealed sequentially and must be matched shortly thereafter, otherwise they will leave the system in favor of an outside option. Hyperedges are revealed to the algorithm once all of its vertices have arrived, and can only be included into the matching before any of its vertices leave the system. The cardinality of hyperedges are bounded by a small constant which r...
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作者：Yu, Lun; Iravani, Seyed; Perry, Ohad
作者单位：Northwestern University
摘要：We consider a large service system with two customer classes that are distinguished by their urgency and service requirements. In particular, one of the customer classes is considered urgent, and is therefore prioritized over the other class; further, the average service time of customers from the urgent class is significantly larger than that of the nonurgent class. We therefore refer to the urgent class as slow, and to the nonurgent class as fast. Due to the complexity and intractability of ...
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作者：Das, Milan Kumar; Tsai, Henghsiu; Kyriakou, Ioannis; Fusai, Gianluca
作者单位：Academia Sinica - Taiwan; City St Georges, University of London; University of Eastern Piedmont Amedeo Avogadro; City St Georges, University of London
摘要：In this note, we revisit the innovative transform approach introduced by Cai, Song, and Kou [(2015) A general framework for pricing Asian options under Markov processes. Oper. Res. 63(3):540???554] for accurately approximating the probability distribution of a weighted stochastic sum or time integral under general one-dimensional Markov processes. Since then, Song, Cai, and Kou [(2018) Computable error bounds of Laplace inversion for pricing Asian options. INFORMS J. Comput. 30(4):625???786] a...
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作者：Baron, Opher; Hu, Ming; Malekian, Azarakhsh
作者单位：University of Toronto
摘要：We study the revenue volatility of a monopolist selling a divisible good to consumers in the presence of local network externalities among consumers. The utility of consumers depends on their consumption level as well as those of their neighbors in a network through network externalities. In the eye of the seller, there exist uncertainties in the network externalities, which may be the result of unanticipated shocks or a lack of exact knowledge of the externalities. However, the seller has to ...
