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Stochastic Models eJournal

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Viewing: 101 - 150 of 453 papers

101.

Information Updated Supply Chain with Service-Level Constraints

Journal of Industrial And Management Optimization, Vol. 1, No. 4, pp. 513-531, November 2005
Number of pages: 19 Posted: 27 Feb 2008 Last Revised: 22 Mar 2008
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal 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 North Carolina (UNC) at Charlotte
Downloads 172
102.

Progressive Hedging Innovations for a Class of Stochastic Resource Allocation Problems

UC Davis Graduate School of Management Research Paper No. 05-08
Number of pages: 27 Posted: 18 Sep 2008
Working Paper Series
Sandia National Laboratories, University of California, Davis - Graduate School of Management and Sandia National Laboratories
Downloads 172
103.

A Comparison of the Ito and Stratonovich Formulations of Problems in Finance

Journal of Economic Dynamics and Control,Vol. 3, pp. 343-356, November 1981
Number of pages: 8 Posted: 18 Jan 2008 Last Revised: 27 Mar 2014
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management and Carnegie Mellon University
Downloads 170
104.

Exact and Efficient Simulation of Correlated Defaults

Number of pages: 36 Posted: 01 Nov 2009 Last Revised: 01 Oct 2010
Working Paper Series
Stanford University - Management Science & Engineering, Stanford University, Stanford University - Management Science & Engineering and Toho University
Downloads 170
105.

Evaluating Long-Term Service Performance in Two-Stage Newsvendor Models

Number of pages: 30 Posted: 30 Jan 2008 Last Revised: 10 Apr 2014
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 168
106.

A Supply Chain with a Service Requirement for Each Market Signal

Production and Operations Management, Vol. 16, No. 3, pp. 322-342, May-June 2007
Number of pages: 21 Posted: 12 Feb 2008
Accepted Paper Series
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences, University of Texas at Dallas - Naveen Jindal School of Management and University of North Carolina (UNC) at Charlotte
Downloads 165
107.

Delay-Predictability Tradeoffs in Reaching a Secret Goal

Stanford University Graduate School of Business Research Paper No. 16-25
Number of pages: 19 Posted: 26 May 2016 Last Revised: 14 Aug 2017
Working Paper Series
Massachusetts Institute of Technology (MIT) and Stanford Graduate School of Business
Downloads 165
108.

Optimality of an (s, S) Policy with Compound Poisson and Diffusion Demands: A Quasi-Variational Inequalities Approach

SIAM Journal on Control & Optimization, Vol. 44, No. 5, pp. 1650-1676, 2006
Number of pages: 28 Posted: 26 Feb 2008 Last Revised: 14 Apr 2008
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, University of Dayton - Department of Mathematics and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 165
109.

Managing Customer Churn via Service Mode Control

Columbia Business School Research Paper No. 18-52
Number of pages: 74 Posted: 20 Jun 2018 Last Revised: 29 Jun 2020
Working Paper Series
Columbia Business School - Decision Risk and Operations, New York University (NYU) and Columbia Business School - Decision, Risk, and Operations
Downloads 164
110.

Optimal Importance Sampling of Default Losses

Number of pages: 41 Posted: 08 Sep 2011 Last Revised: 08 Nov 2014
Working Paper Series
Stanford University - Management Science & Engineering and University of California, Santa Barbara (UCSB)
Downloads 162
111.

Two-Stage Pricing for Custom-Made Products

Number of pages: 24 Posted: 16 Dec 2009 Last Revised: 31 Mar 2011
Working Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 162
112.

Bayesian and Adaptive Controls for a Newsvendor Facing Exponential Demand

Risk and Decision Analysis, Vol. 1, No. 4, pp. 197-210, 2009
Number of pages: 14 Posted: 30 Jan 2008 Last Revised: 01 May 2014
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 161
113.

Pricing a Digital Services Marketplace under Asymmetric Information

Number of pages: 14 Posted: 31 Jan 2018 Last Revised: 27 Mar 2019
Working Paper Series
Altos Platform and Stanford University - Stanford Graduate School of Business
Downloads 161
114.

Filtered Likelihood for Point Processes

Journal of Econometrics, Vol. 204, No. 1, 2018
Number of pages: 21 Posted: 29 Jul 2011 Last Revised: 08 Jun 2018
Accepted Paper Series
Stanford University - Management Science & Engineering and Santa Clara University - Department of Finance
Downloads 158
115.

Numerical Dynamic Programming on Parallel Computing Clusters: A 'MacGyver' Approach

Number of pages: 15 Posted: 08 May 2008
Working Paper Series
University of Fribourg (Switzerland) - Chair for Financial Management
Downloads 158
116.

An Incomplete Information Inventory Model with Presence of Inventories or Backorders as Only Observations

Number of pages: 60 Posted: 07 Mar 2008 Last Revised: 02 Dec 2019
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Sonora - Department of Mathematics, University of Texas at Dallas - Naveen Jindal School of Management and University of Richmond - Robins School of Business, Management Department
Downloads 156
117.

Semiclassical Approximation in Stochastic Optimal Control: I. Portfolio Construction Problem

Number of pages: 21 Posted: 25 Jun 2014
Working Paper Series
J.P. Morgan Chase & Co., University of Oxford and CUNY Baruch College
Downloads 154
118.

Dimensioning On-Demand Vehicle Sharing Systems

Accepted for publication in Management Science
Number of pages: 52 Posted: 10 Mar 2020 Last Revised: 23 Nov 2020
Accepted Paper Series
University of Minnesota - Minneapolis - Industrial & System Engineering, Hong Kong Polytechnic University - Department of Logistics and Maritime Studies, Southern University of Science and Technology and University of Minnesota - Twin Cities - Department of Industrial and Systems Engineering
Downloads 152
119.

Ambiguous Partially Observable Markov Decision Processes: Structural Results and Applications

Journal of Economic Theory, Forthcoming
Number of pages: 35 Posted: 12 Oct 2014 Last Revised: 18 Aug 2018
Accepted Paper Series
Harvard University - Harvard Kennedy School (HKS)
Downloads 151
120.

M-natural-Convexity and its Applications in Operations

Number of pages: 40 Posted: 13 Aug 2019 Last Revised: 08 Mar 2020
Working Paper Series
University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 151
121.

Scalable Inference of Customer Similarities from Interactions Data Using Dirichlet Processes

Forthcoming in Marketing Science
Number of pages: 40 Posted: 21 May 2009 Last Revised: 20 Aug 2011
Accepted Paper Series
Southern Methodist University (SMU) - Marketing Department and Deakin University
Downloads 151
122.

Exact Simulation of Hawkes Process with Exponentially Decaying Intensity

Electronic Communications in Probability, Vol. 18, No. 62, 2013
Number of pages: 15 Posted: 18 Jul 2013
Accepted Paper Series
London School of Economics & Political Science (LSE) - Department of Statistics and Shanghai University of Finance and Economics
Downloads 149
123.

A Scalable Bounding Method for Multi-Stage Stochastic Integer Programs

Chicago Booth Research Paper No. 14-21
Number of pages: 31 Posted: 16 Jul 2014
Working Paper Series
University of Chicago - Booth School of Business and North Carolina State University
Downloads 148
124.

Regression-Based Monte Carlo Methods for Stochastic Control Models: Variable Annuities with Lifelong Guarantees

Number of pages: 43 Posted: 26 Jul 2014 Last Revised: 02 Feb 2016
Working Paper Series
Hong Kong University of Science and Technology, Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Downloads 148
125.

The Specification of GARCH Models with Stochastic Covariates

Number of pages: 29 Posted: 09 Oct 2007
Working Paper Series
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 147
126.

Modeling the Diffusion of Residential Photovoltaic Systems in Italy: An Agent-Based Simulation

FCN Working Paper No. 9/2013
Number of pages: 51 Posted: 13 Jun 2013
Working Paper Series
RWTH Aachen University, RWTH Aachen University - Institute for Future Energy Consumer Needs and Behavior (FCN) and RWTH Aachen University
Downloads 145
127.

Robustness of Supply Chain Coordination Contracts: Taxonomy, Examples, and Structural Results

Number of pages: 32 Posted: 15 Jun 2011 Last Revised: 03 Apr 2015
Working Paper Series
A.C. Nielsen, University of Texas at Dallas - Naveen Jindal School of Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 145
128.

Judicial Analytics and the Great Transformation of American Law

Journal of Artificial Intelligence and the Law, Forthcoming
Number of pages: 43 Posted: 07 Jan 2019
Accepted Paper Series
Directeur de Recherche, Centre National de la Recherche Scientifique, Toulouse School of Economics, Institute for Advanced Study in Toulouse, University of Toulouse Capitole, Toulouse, France
Downloads 144
129.

Simple Rules for Predicting Congestion Risk in Queueing Systems: Application to ICUs

Number of pages: 50 Posted: 15 May 2019 Last Revised: 07 Aug 2020
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, Duke University - Pratt School of Engineering, University of Rochester - Simon Business School and University of Rochester - Simon Business School
Downloads 144
130.

Inventory Management Under Market Size Dynamics

Management Science, Vol. 54, No. 10 (2008) pp. 1805-1821
Number of pages: 17 Posted: 07 Dec 2015
Accepted Paper Series
University of Auckland and Indiana University Bloomington
Downloads 143
131.

Optimality of (s, S) Policies in Inventory Models with Markovian Demand

Operations Research, Vol. 45, No. 6, pp. 931-939, 1997
Number of pages: 9 Posted: 29 Apr 2008 Last Revised: 26 Apr 2014
Working Paper Series
University of Texas at Dallas - Naveen Jindal School of Management and IBM Research
Downloads 143
132.

A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process

Number of pages: 22 Posted: 09 May 2019 Last Revised: 01 Apr 2020
Working Paper Series
Natixis Assurances, University of Freiburg, Université Paris VII Denis Diderot and Politecnico di Milano- Dipartimento di Matematica
Downloads 142
133.

Markdown Policies for Demand Learning with Forward-looking Customers

Number of pages: 70 Posted: 15 Dec 2018 Last Revised: 07 Aug 2019
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago Booth School of Business and Duke University - Fuqua School of Business
Downloads 142
134.

Integrating Intermittent Renewable Wind Generation - Insights from the Stochastic Electricity Market Model (stELMOD)

Electricity Markets Working Paper No. 49
Number of pages: 33 Posted: 29 May 2012
Working Paper Series
ETH Zürich - Centre for Energy Policy and Economics (CEPE) and German Institute for Economic Research (DIW Berlin)
Downloads 140
135.

Optimality of State-Dependent (s, S) Policies in Inventory Models with Markov-Modulated Demand and Lost Sales

Production and Operations Management, Vol. 8, No. 2, pp. 183-192, 1999
Number of pages: 10 Posted: 01 May 2008 Last Revised: 18 Jan 2009
Working Paper Series
IBM Research and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 140
136.

The Value of Flexibility From Opaque Selling

Number of pages: 42 Posted: 19 Nov 2019
Working Paper Series
Department of Industrial Engineering and Operations Research & Data Science Institute, Columbia University, Columbia University and Columbia University
Downloads 140
137.

Data-driven Dynamic Pricing and Ordering with Perishable Inventory in a Changing Environment

Number of pages: 55 Posted: 18 Jun 2019 Last Revised: 04 Sep 2020
Working Paper Series
Duke University - Fuqua School of Business, Duke University, Fuqua School of Business, Students and Duke University - Fuqua School of Business
Downloads 137
138.

Deterministic and Stochastic Optimization of a Dynamic Advertising Model

Optimal Control Applications and Methods, Vol. 4, No. 2 , pp. 179-184, 1983
Number of pages: 6 Posted: 17 Jan 2008 Last Revised: 25 Apr 2014
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management
Downloads 137
139.

Optimal Policies for the Sizing and Timing of Software Maintenance Projects

European Journal of Operational Research, Vol. 173, No. 3, pp. 1047-1066, 2006, McCombs Research Paper Series No. IROM-11-08
Number of pages: 29 Posted: 21 Feb 2008 Last Revised: 23 Nov 2008
Accepted Paper Series
Purdue University - Krannert School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 137
140.

Progressive Screening: Long-Term Contracting with a Privately Known Stochastic Process

Review of Economic Studies, 80(1), 1-34
Number of pages: 37 Posted: 05 Jun 2011 Last Revised: 05 May 2013
Accepted Paper Series
University of Miami - School of Business Administration - Department of Economics and NYU Stern School of Business
Downloads 137
141.

Compendio di Metodi di Ottimizzazione (A Brief Introduction to Optimization Methods with Numerical Examples)

Number of pages: 50 Posted: 06 Nov 2013 Last Revised: 18 Jan 2014
Working Paper Series
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 136
142.

Fund Flows, Performance, Managerial Career Concerns, and Risk-Taking

Management Science, Forthcoming
Number of pages: 54 Posted: 14 Dec 2010
Accepted Paper Series
affiliation not provided to SSRN, Northeastern University, San Jose State University and Georgia State University

Multiple version iconThere are 2 versions of this paper

Downloads 136
143.

Buyer Power and Suppliers' Incentives to Innovate

ZEW - Centre for European Economic Research Discussion Paper No. 12-058
Number of pages: 30 Posted: 05 Sep 2012
Working Paper Series
ZEW – Leibniz Centre for European Economic Research and ZEW – Leibniz Centre for European Economic Research - Industrial Economics and International Management Research
Downloads 135
144.

Linear Tests for DARA Stochastic Dominance

Number of pages: 34 Posted: 30 Jun 2013 Last Revised: 14 Apr 2014
Working Paper Series
Graduate School of Business of Nazarbayev University, Jilin University (JLU) - Center for Quantitative Economics and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 135
145.

Periodic-Review Inventory Model with Three Consecutive Delivery Modes and Forecast Updates

Journal of Optimization Theory and Applications, Vol. 124, No. 1, pp. 137-155, January 2005
Number of pages: 19 Posted: 09 Apr 2008 Last Revised: 26 Apr 2014
Accepted Paper Series
Purdue University - Krannert School of Management, HKUST, University of Texas at Dallas - Naveen Jindal School of Management, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Downloads 135
146.

Persuading Risk-Conscious Agents: A Geometric Approach

Number of pages: 43 Posted: 13 Jun 2019 Last Revised: 11 May 2020
Working Paper Series
Columbia University - Columbia Business School, University of Minnesota - Twin Cities - Department of Industrial and Systems Engineering and Cornell University
Downloads 133
147.

Pricing to Accelerate Demand Learning in Dynamic Assortment Planning for Perishable Products

European Journal of Operational Research, Vol. 237, Issue 2, 2014
Number of pages: 25 Posted: 16 Jan 2012 Last Revised: 02 Sep 2016
Accepted Paper Series
University of Newcastle (Australia), University of Newcastle (Australia) and University of Newcastle (Australia)
Downloads 133
148.

Beyond Heavy-Traffic Regimes: Universal Bounds and Controls for the Single-Server Queue

Number of pages: 51 Posted: 28 May 2016
Working Paper Series
The Chinese University of Hong Kong (CUHK) - CUHK Business School and Northwestern University
Downloads 132
149.

Average Cost Optimality in Inventory Models with Dynamic Information Delays

IEEE Transactions on Automatic Control, Forthcoming
Number of pages: 14 Posted: 18 Apr 2008 Last Revised: 14 Mar 2011
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Zhejiang University--School of Management and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Downloads 131
150.

Sequencing and Scheduling Appointments with Potential Call-In Patients

UC Davis Graduate School of Management Research Paper
Number of pages: 40 Posted: 25 Jun 2011
Working Paper Series
University of California, Davis - Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 131