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作者：Bertsimas, Dimitris; Paschalidis, Ioannis Ch.; Tsitsiklis, John N.
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：We consider open and closed multiclass queueing networks, with Poisson arrivals (for open networks), exponentially distributed class dependent service times and class dependent deterministic or probabilistic routing. The performance objective is to minimize, over all sequencing and routing policies, a weighted sum of the expected response times of different classes. Using a powerful technique involving quadratic or higher order potential functions, we propose methods for deriving polyhedral an...
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作者：Grey, D. R.
作者单位：University of Sheffield
摘要：Let Q and M be random variables with given joint distribution. Under some conditions Qn this joint distribution, there will be exactly one distribution for another random variable R, independent of (Q, M), with the property that Q + MR has the same distribution as R. When M is nonnegative and satisfies some moment conditions, we give an improved proof that if the upper tail of the distribution of Q is regularly varying, then the upper tail of the distribution of R behaves similarly; this proof...
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作者：Davis, M. H. A.; Zervos, M.
作者单位：Imperial College London
摘要：In this paper a simple problem of combined singular stochastic control and optimal stopping is formulated and solved. We find that the optimal strategies can take qualitatively different forms, depending on parameter values. We also study a variant on the problem in which the value function is inherently nonconvex. The proofs employ the generalised Ito formula applicable for differences of convex functions.
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作者：Hall, Peter; Roy, Rahul
作者单位：Australian National University; Indian Statistical Institute; Indian Statistical Institute Delhi
摘要：For Gaussian processes there is a simple and well-known relationship between the fractal dimension of sample paths and the fractal index of the covariance function. This property is of considerable practical interest, since it forms the basis of several estimators of fractal dimension. Motivated by statistical applications involving non-Gaussian processes, we discuss the relationship in a wider context. We show that the relationship fails in some circumstances, but nevertheless does hold in a ...
