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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：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：Scroccaro, Pedro Zattoni; Atasoy, Bilge; Esfahani, Peyman Mohajerin
作者单位：Delft University of Technology; Delft University of Technology
摘要：This article may be used only for the purposes of research, teaching, and/or private study. Commercial use or systematic downloading (by robots or other automatic processes) is prohibited without explicit Publisher approval, unless otherwise noted. For more information, contact permissions@informs.org. The Publisher does not warrant or guarantee the article's accuracy, completeness, merchantability, fitness inclusion of an advertisement in this article, neither constitutes nor implies a guaran...
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作者：Huang, Weihuan; Lin, Nifei; Hong, L. Jeff
作者单位：Nanjing University; Fudan University; Fudan University; Fudan University
摘要：CoVaR is one of the most important measures of financial systemic risks. It is defined as the risk of a financial portfolio conditional on another financial portfolio being at risk. In this paper we first develop a Monte Carlo simulation-based batching estimator of CoVaR and study its consistency and asymptotic normality. We show that the best rate of convergence that the batching estimator can achieve is n(-1/3), where n is the sample size. We then develop an importance sampling-inspired esti...
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作者：Jalan, Akhil; Chakrabarti, Deepayan; Sarkar, Purnamrita
作者单位：University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
摘要：Financial networks help firms manage risk but also enable financial shocks to spread. Despite their importance, existing models of financial networks have several limitations. Prior works often consider a static network with a simple structure (e.g., a ring) or a model that assumes conditional independence between edges. We propose a new model where the network emerges from interactions between heterogeneous utility-maximizing firms. Edges correspond to contract agreements between pairs of fir...
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作者：Chen, Nan; Ma, Xiang; Liu, Yanchu; Yu, Wei
作者单位：Chinese University of Hong Kong; Sun Yat Sen University
摘要：We use the technique of information relaxation to develop a duality-driven iterative approach (DDP) to obtain and improve confidence interval estimates for the true value of finite-horizon stochastic dynamic programming problems. Each iteration of the algorithm solves an optimization-expectation procedure. We show that the sequence of dual value estimates yielded from the proposed approach monotonically converges to the true value function in a finite number of dual iterations. Aiming to overc...
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作者：Graf, Lukas; Harks, Tobias
作者单位：University of Passau
摘要：We study dynamic traffic assignment with side constraints. We first give a counter-example to a previous result from the literature regarding the existence of dynamic equilibria for volume-constrained traffic models in the classical linear edge-delay model. Our counter-example shows that the feasible flow space need not be convex, and it further reveals that classical infinite dimensional variational inequalities are not suited for the definition of general side-constrained dynamic equilibria....
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作者：Bu, Jinzhi; Gong, Xiting; Chao, Xiuli
作者单位：Hong Kong Polytechnic University; Chinese University of Hong Kong; University of Michigan System; University of Michigan
摘要：We consider three classes of inventory systems under long-run average cost: (i) periodic-review systems with lost sales, positive lead times, and a nonstationary demand process; (ii) periodic-review systems for a perishable product with partial backorders and a nonstationary demand process; and (iii) continuous-review systems with fixed lead times, Poisson demand process, and lost sales. The state spaces for these systems are multidimensional, and computations of their optimal control policies...
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作者：Feng, Yiding; Niazadeh, Rad; Saberi, Amin
作者单位：University of Chicago; Stanford University
摘要：Motivated by the applications of rental services in e-commerce, we consider revenue maximization in online assortment of reusable resources for a stream of arriving consumers with different types. We design competitive online algorithms with respect to the optimum online policy in the Bayesian setting in which types are drawn independently from known heterogeneous distributions over time. In the regime where the minimum of initial inventories cmin is large, our main result is a near-optimal 1....
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作者：Blaettchen, Philippe; Taneri, Niyazi; Hasija, Sameer
作者单位：City St Georges, University of London; University of Cambridge; INSEAD Business School
摘要：Technological advances enable new business models for heavy equipment manufacturers wherein customers access equipment without ownership. We seek to understand the profitability and environmental performance of different emerging business models in light of salient economic and operational factors. We develop a game-theoretic model to identify the optimal choice between a traditional ownership-based business model and two access-based models: servicization and peer-to-peer sharing. After-sales...
