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作者：Resnick, S; Samorodnitsky, G
作者单位：Cornell University
摘要：A system with heavy tailed service requirements under heavy load having a single server has an equilibrium waiting time distribution which is approximated by the Mittag-Leffler distribution. This fact is understood by a direct analysis of the weak convergence of a sequence of negative drift random walks with heavy right tail and the associated all time maxima of these random walks. This approach complements the recent transform view of Boxma and Cohen (1997).
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作者：Dewan, R; Freimer, M; Seidmann, A
作者单位：University of Rochester
摘要：Rapid technological developments and deregulation of the telecommunications industry have changed the way in which content providers distribute and price their goods and services. Instead of selling a bundle of content and access through proprietary networks, these firms are shifting their distribution channels to the Internet. In this new setting, the content and Internet service providers find themselves in a relationship that is simultaneously cooperative and competitive. We find that propr...
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作者：Das, SR; Sundaram, RK
作者单位：Harvard University; National Bureau of Economic Research; New York University
摘要：This paper develops a framework for modelling risky debt and valuing credit derivatives that is flexible and simple to implement, and that is, to the maximum extent possible, based on observables. Our approach is based on expanding the Heath-Jarrow-Morton term-structure model to allow for defaultable debt. Rather than follow the procedure of implying out the behavior of spreads from assumptions concerning the default process, we work directly with the evolution of spreads. The risk-neutral dri...
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作者：Fragnière, E; Gondzio, J; Sarkissian, R; Vial, JP
作者单位：University of Lausanne; Polish Academy of Sciences; Systems Research Institute of the Polish Academy of Sciences; University of Geneva
摘要：A new concept is proposed for linking algebraic modeling languages with structure-exploiting solvers. SPI (Structure-Passing Interface) is a program that retrieves structure new concept is proposed for linking algebraic modeling languages with structure from an anonymous mathematical program built by an algebraic modeling language. SPI passes the special structure of the problem to an SES (Structure-Exploiting Solver). An integration of SPI and SES leads to SET (Structure-Exploiting Tool) and ...
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作者：van Ryzin, G; McGill, J
作者单位：Columbia University; Queens University - Canada
摘要：We investigate a simple adaptive approach to optimizing seat protection levels in airline revenue management systems. The approach uses only historical observations of the relative frequencies of certain seat-filling events to guide direct adjustments of the seat protection levels in accordance with the optimality conditions of Brumelle and McGill (1993). Stochastic approximation theory is used to prove the convergence of this adaptive algorithm to the optimal protection levels. in a simulatio...
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作者：Lioui, A; Poncet, P
作者单位：Bar Ilan University; heSam Universite; Universite Pantheon-Sorbonne; ESSEC Business School
摘要：In an environment where interest rates are stochastic, we examine the case of a pure hedger endowed with a fixed position in a long term bond. In contrast to conventional wisdom according to which the difference between hedging through forward contracts and futures is immaterial, it turns out that the minimum variance hedge ratio using forwards comprises two terms instead of one only when using futures. The magnitude of the difference between the two hedge ratios may be important under some pl...
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作者：Mendelson, H
作者单位：Stanford University
摘要：This paper studies an organizational architecture that I call information-age architecture. I define a measure of organizational IQ and test whether it is related to financial and market success using data from the fast-moving information technology industry. Higher organizational IQ is associated with higher profitability and growth. This relationship is stronger in business environments that are characterized by faster clockspeeds.
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作者：Behrens, DA; Caulkins, JP; Tragler, G; Feichtinger, G
作者单位：Technische Universitat Wien; University of Klagenfurt; Carnegie Mellon University; RAND Corporation
摘要：Drug use and related problems change substantially over time, so it seems plausible that drug interventions should vary too. To investigate this possibility, we set up a continuous time version of the first-order difference equation model of cocaine use introduced by Everingham and Rydell (1994), extended to make initiation an endogenous function of prevalence. We then formulate and solve drug treatment and prevention spending decisions in the framework of dynamic optimal control under differe...
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作者：Repenning, NP
作者单位：Massachusetts Institute of Technology (MIT)
摘要：Understanding the wide range of outcomes achieved by firms trying to implement Total Quality Management (TQM) and similar process improvement initiatives presents a challenge to management theory: A few firms reap sustained benefits from their programs, but most efforts fail and are abandoned. In this paper I study one dimension of this phenomenon: the role of impending layoffs in determining employee commitment to process improvement. Currently, the literature provides two opposing theories c...
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作者：Wang, YZ; Cohen, MA; Zheng, YS
作者单位：University System of Ohio; Case Western Reserve University; University of Pennsylvania
摘要：Consider a two-echelon repairable inventory system consisting of a central depot and multiple stocking centers. The centers provide parts replacement service to customers and replenish their inventory from the depot, following a one-for-one policy. The depot fills center replenishment orders on a first-come-first-serve basis. Defectives received at the centers are passed to the depot for repair and depot inventory replenishment. For this system, existing models (e.g., the METRIC model) usually...
