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Stochastic Models eJournal

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Viewing: 51 - 100 of 452 papers

51.

Pricing Risk Under Risk Measures: An Introduction to Stochastic-Endogenous Equilibria

Number of pages: 45 Posted: 04 Aug 2011
Working Paper Series
University of Cambridge - Judge Business School and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 303
52.

Sampling-Based Approximation Schemes for Capacitated Stochastic Inventory Control Models

Number of pages: 39 Posted: 07 Jun 2015 Last Revised: 09 Nov 2017
Working Paper Series
Institute of High Performance Computing, Agency for Science, Technology and Research (A*STAR) and Massachusetts Institute of Technology (MIT) - School of Engineering
Downloads 299
53.

Multi-Objective Online Ride-Matching

Number of pages: 41 Posted: 17 Apr 2019 Last Revised: 02 Sep 2019
Working Paper Series
National University of Singapore (NUS) - NUS Business School, Institute of High Performance Computing, Agency for Science, Technology and Research (A*STAR), NUS Business School - Department of Decision Sciences and Carnegie Mellon University - Heinz College of Information Systems and Public Policy
Downloads 295
54.

A Two-Stage Newsvendor Problem with a Service Constraint

Number of pages: 37 Posted: 06 Jul 2008
Working Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 280
55.

Dynamic Pricing of Relocating Resources in Large Networks

Accepted by Management Science. Available at https://pubsonline.informs.org/doi/10.1287/mnsc.2020.3735
Number of pages: 97 Posted: 18 Jan 2019 Last Revised: 03 Nov 2020
Accepted Paper Series
Columbia Business School - Decision Risk and Operations, Duke University - Decision Sciences and University of Chicago - Booth School of Business
Downloads 278
56.

Fast Stochastic Forward Sensitivities in Monte-Carlo Simulations Using Stochastic Automatic Differentiation (with Applications to Initial Margin Valuation Adjustments (MVA))

Number of pages: 27 Posted: 15 Aug 2017 Last Revised: 22 Jan 2018
Working Paper Series
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 275
57.

Numerical Solution of Jump-Diffusion SDEs

Number of pages: 39 Posted: 02 Aug 2013 Last Revised: 20 Mar 2018
Working Paper Series
Stanford University - Management Science & Engineering, University of California, Santa Barbara (UCSB), Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 275
58.

American Options in Lévy Models with Stochastic Interest Rates

Number of pages: 31 Posted: 20 Sep 2007
Working Paper Series
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 273
59.

Dynamic Learning and Market Making in Spread Betting Markets With Informed Bettors

Number of pages: 81 Posted: 07 Dec 2018 Last Revised: 20 Apr 2020
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business, Duke University - Fuqua School of Business and Wealthfront, Inc.
Downloads 273
60.

Optimal Dividends and Capital Injections in the Dual Model with Diffusion

UNSW Australian School of Business Research Paper No. 2010ACTL15
Number of pages: 28 Posted: 15 Nov 2010
Working Paper Series
University of Melbourne - Centre for Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies

Multiple version iconThere are 2 versions of this paper

Downloads 263
61.

Optimal Exploration-Exploitation in a Multi-Armed-Bandit Problem with Non-Stationary Rewards

Stochastic Systems 9 (4), 319-337 (2019)
Number of pages: 30 Posted: 15 May 2014 Last Revised: 02 Jan 2020
Accepted Paper Series
Columbia Business School - Decision Risk and Operations, Stanford Graduate School of Business and Columbia Business School - Decision Risk and Operations
Downloads 261
62.

Gains from Diversification: A Majorization and Stochastic Dominance Approach

Number of pages: 21 Posted: 12 Mar 2008
Working Paper Series
Universidad de la Republica and Asia University, Department of Finance
Downloads 260
63.

Winning Football Penalty Shootouts

Number of pages: 56 Posted: 23 Aug 2013 Last Revised: 25 Nov 2018
Working Paper Series
University of Oxford - Saint Cross College
Downloads 254
64.

Coordination Mechanism for the Supply Chain with Leadtime Consideration and Price-Dependent Demand

European Journal of Operational Research, Vol. 203, No. 1, pp. 70-80, May 2010
Number of pages: 25 Posted: 07 Nov 2008 Last Revised: 28 May 2010
Accepted Paper Series
affiliation not provided to SSRN, City Univ. of Hong Kong - Dept of Management Scienes, The Hong Kong Polytechnic University - Institute of Textiles and Clothing and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 253
65.
Downloads 245
66.

Incorporating Demand Response with Load Shifting into Stochastic Unit Commitment

Number of pages: 51 Posted: 06 Apr 2013
Working Paper Series
University of Cologne - Department of Supply Chain Management and Management Science, Northwestern University and University of Cologne - Faculty of Management, Economics and Social Sciences
Downloads 243
67.

The Immunization Performance of Traditional and Stochastic Durations: A Mean-Variance Analysis

Number of pages: 33 Posted: 20 Dec 2007 Last Revised: 12 Dec 2016
Working Paper Series
Université de Rennes I and CREM and HEC Montreal - Department of Finance
Downloads 240
68.

Managing Shutdown Decisions in Merchant Commodity and Energy Production: A Social Commerce Perspective

Number of pages: 42 Posted: 13 Sep 2017 Last Revised: 08 May 2019
Working Paper Series
ETH Zurich, University of Illinois at Chicago - College of Business Administration, Norwegian University of Science and Technology (NTNU), University of London - Economics, Mathematics and Statistics and Technical University of Denmark - Management Engineering
Downloads 239
69.

Understanding the Value of Fulfillment Flexibility in an Online Retailing Environment

Number of pages: 59 Posted: 05 Nov 2018 Last Revised: 09 Feb 2020
Working Paper Series
University of Chicago - Booth School of Business, Decision Sciences Area, Fuqua School of Business, Duke University, JD.com American Technologies Corporation and Massachusetts Institute of Technology (MIT) - Operations Research Center
Downloads 231
70.

Monte Carlo Algorithms for Default Timing Problems

Management Science, Vol. 57, No. 12, pp. 2115-2129, 2011
Number of pages: 31 Posted: 16 Sep 2010 Last Revised: 18 Mar 2012
Accepted Paper Series
Stanford University - Management Science & Engineering, Korea University Business School (KUBS) and Stanford University - Department of Statistics
Downloads 230
71.

Exact Sampling of Jump-Diffusions

Operations Research, Forthcoming
Number of pages: 40 Posted: 19 Aug 2011 Last Revised: 12 Apr 2013
Accepted Paper Series
Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 228
72.

Interior-Point Based Online Stochastic Bin Packing

Number of pages: 68 Posted: 14 Oct 2015 Last Revised: 21 Nov 2019
Working Paper Series
University of Chicago - Booth School of Business and Google, Inc.
Downloads 227
73.

A Probabilistic Analysis of Two University Parking Issues

RIT Economics Department Working Paper No. 08-05
Number of pages: 17 Posted: 12 Apr 2008
Working Paper Series
Rochester Institute of Technology (RIT) - Department of Economics and VU University of Amsterdam - Department of Spatial Economics

Multiple version iconThere are 2 versions of this paper

Downloads 225
74.

Co-opetition in Service Clusters with Waiting-Area Entertainment

Manufacturing & Service Operations Management, Forthcoming, Johns Hopkins Carey Business School Research Paper No. 17-07
Number of pages: 42 Posted: 11 Oct 2016 Last Revised: 05 Nov 2019
Accepted Paper Series
Singapore University of Social Sciences, Johns Hopkins University - Carey Business School, NUS Business School, National University of Singapore and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 223
75.

A Simple Heuristic Policy for Stochastic Distribution Inventory Systems with Fixed Shipment Costs

Rotman School of Management Working Paper No. 2921743, Forthcoming, Operations Research
Number of pages: 27 Posted: 23 Feb 2017 Last Revised: 28 Sep 2020
Accepted Paper Series
School of Management Science and Engineering, Dongbei University of Finance and Economics, City Univ. of Hong Kong - Dept of Management Scienes, University of Toronto - Rotman School of Management and School of Management, Zhejiang University
Downloads 222
76.

Corporate Control with Cross-Ownership

Number of pages: 41 Posted: 14 Mar 2012
Working Paper Series
Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Downloads 219
77.

Incentive Design for Operations-Marketing Multitasking

Management Science, Forthcoming
Number of pages: 58 Posted: 29 Aug 2018 Last Revised: 22 May 2020
Accepted Paper Series
Johns Hopkins University - Carey Business School, Hong Kong Baptist University - Department of Economics and University of Chicago - Booth School of Business
Downloads 217
78.

Tipping Points in a Dynamic Stochastic IAM

RDCEP Working Paper No. 12-03
Number of pages: 18 Posted: 27 Jan 2012
Working Paper Series
University of Zurich, Ohio State University (OSU) and Stanford University - The Hoover Institution on War, Revolution and Peace
Downloads 209
79.

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors

FIRN Research Paper
Number of pages: 52 Posted: 25 May 2017 Last Revised: 17 Sep 2018
Working Paper Series
University of Cape Town (UCT) - African Collaboration for Quantitative Finance and Risk Research, University of Padova - Department of Mathematics and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 208
80.

Procurement Flexibility under Price Uncertainty

McCombs Research Paper Series No. IROM-04-091, INNOVATIVE QUICK RESPONSE PROGRAMS IN LOGISTICS AND SUPPLY CHAIN MANAGEMENT, T.C. Edwin Cheng, Tsan-Ming Choi, eds., Spring 2009
Number of pages: 30 Posted: 04 Nov 2008 Last Revised: 09 Sep 2009
Working Paper Series
Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 206
81.

Inventory Models with Alternative Delivery Lead Times, Demand Backlogging, and Priority Rules

Number of pages: 40 Posted: 06 Feb 2009 Last Revised: 23 May 2012
Working Paper Series
Tsinghua University - Department of Automation, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 200
82.

Bayesian Dynamic Pricing Policies: Learning and Earning Under a Binary Prior Distribution

Management Science, Vol. 58, No. 3, March 2012, pp. 570-586
Number of pages: 34 Posted: 03 Feb 2014 Last Revised: 07 Oct 2018
Accepted Paper Series
Stanford Graduate School of Business, Duke University - Fuqua School of Business and Columbia Business School - Decision Risk and Operations
Downloads 196
83.

A Stochastic Volatility Model with Conditional Skewness

Journal of Business & Economic Statistics, 30:4, 576-591.
Number of pages: 36 Posted: 19 Mar 2008 Last Revised: 29 Oct 2012
Accepted Paper Series
Bank of Canada and ESSEC Business School
Downloads 195
84.

On Bounds for Network Revenue Management

Number of pages: 12 Posted: 18 Mar 2008
Working Paper Series
Imperial College Business School
Downloads 194
85.

Elliptical Black-Litterman Portfolio Optimization

Number of pages: 28 Posted: 27 Mar 2017 Last Revised: 29 Aug 2017
Working Paper Series
University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics and University of Leeds - School of Mathematics
Downloads 193
86.

Stochastic Impulse Control with Regime-Switching Dynamics

Number of pages: 43 Posted: 08 Apr 2015 Last Revised: 02 Jan 2017
Working Paper Series
University of Kaiserslautern - Department of Mathematics, affiliation not provided to SSRN and University of Trier
Downloads 193
87.

Integrating Equipment Investment Strategy with Maintenance Operations under Uncertain Failures

McCombs Research Paper Series No. IROM-12-09
Number of pages: 47 Posted: 16 Apr 2009 Last Revised: 17 Oct 2011
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 192
88.

Il Cloud Computing. Alla Ricerca Del Diritto Perduto Nel Web 3.0 (Cloud Computing. In Search of Lost Law in the Web 3.0)

Europa e diritto privato, 2014, II, 577-659
Number of pages: 83 Posted: 25 Oct 2014
Accepted Paper Series
University of Stirling
Downloads 186
89.

Optimality and Nonoptimality of the Base-Stock Policy in Inventory Problems with Multiple Delivery Modes

Journal of Industrial And Management Optimization, Vol. 2, No. 1, pp. 19-42, February 2006
Number of pages: 24 Posted: 27 Feb 2008
Accepted Paper Series
Purdue University - Krannert School of Management, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 186
90.

Fixing Phantom Stockouts: Optimal Data-Driven Shelf Inspection Policies

Number of pages: 21 Posted: 15 Nov 2015 Last Revised: 21 Oct 2020
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 185
91.

Investment Strategies and Compensation of a Mean-Variance Optimizing Fund Manager

Number of pages: 44 Posted: 07 Jun 2011 Last Revised: 21 Apr 2012
Working Paper Series
University of Leeds - School of Mathematics and University of Leeds - School of Mathematics
Downloads 183
92.

Omnichannel Services: The False Premise and Operational Remedies

Number of pages: 59 Posted: 05 Sep 2019 Last Revised: 10 Nov 2020
Working Paper Series
University of Toronto - Operations Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 183
93.

Sustainable Yields in Fisheries: Uncertainty, Risk-Aversion and Mean-Variance Analysis

Number of pages: 21 Posted: 28 Sep 2008 Last Revised: 16 Apr 2009
Working Paper Series
University of Glasgow and National University of Kaohsiung - Department of Finance
Downloads 183
94.

A Unified Framework for Regime-Switching Models

Number of pages: 61 Posted: 15 Jan 2019 Last Revised: 01 May 2019
Working Paper Series
Department of Industrial Engineering and Decision Analytics, Hong Kong University of Science and Technology, Boston University and Shanghai Jiao Tong University
Downloads 182
95.

On the Investment-Uncertainty Relationship in a Real Option Model with Stochastic Volatility

Number of pages: 35 Posted: 25 May 2011 Last Revised: 16 Sep 2012
Working Paper Series
The University of Sydney, University of Glasgow and National University of Kaohsiung - Department of Finance
Downloads 181
96.

The Impact of Time Horizon on the Effect of Diversification

Number of pages: 40 Posted: 22 May 2017
Working Paper Series
London Mathematical Laboratory and University of Pennsylvania, The Wharton School
Downloads 180
97.

Pre-positioning and Deployment of Reserved Inventories in a Supply Network: Structural Properties

Number of pages: 38 Posted: 28 Oct 2014 Last Revised: 02 Mar 2019
Working Paper Series
Hong Kong Polytechnic University - Faculty of Business, Chinese Academy of Sciences and Hong Kong Polytechnic University
Downloads 177
98.

Patient Flow in an ICU

Simon School Working Paper No. 08-21
Number of pages: 33 Posted: 08 Apr 2008
Working Paper Series
University of Rochester - Simon Business School, Simon Graduate School of Business, University of Rochester and Yale School of Management
Downloads 174
99.

Bayesian Model Selection for Structural Break Models

Number of pages: 46 Posted: 15 May 2008
Working Paper Series
affiliation not provided to SSRN and University of Oregon - Department of Economics
Downloads 173
100.

Modeling Dynamic Redemption and Default Risk for LBO Evaluation: A Boundary Crossing Approach

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 58 Posted: 15 Feb 2015 Last Revised: 15 Jun 2016
Working Paper Series
Handelshochschule Leipzig (HHL), Handelshochschule Leipzig (HHL) and HHL Leipzig Graduate School of Management - Department of Finance
Downloads 173