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Stochastic Models eJournal

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Viewing: 151 - 200 of 451 papers

151.

Large Scale Continuous-Time Mean-Variance Portfolio Allocation via Reinforcement Learning

Number of pages: 15 Posted: 06 Aug 2019 Last Revised: 06 Aug 2019
Working Paper Series
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 130
152.

Simulation-Based Solution of Stochastic Mathematical Programs with Complementarity Constraints: Sample-Path Analysis

Number of pages: 28 Posted: 20 Mar 2004
Working Paper Series
affiliation not provided to SSRN, Tilburg University - Center for Economic Research (CentER) and affiliation not provided to SSRN
Downloads 130
153.

Two Stochastic Volatility Processes - American Option Pricing

University of Technology Sydney Quantitative Finance Research Centre Working Paper No. 292
Number of pages: 74 Posted: 11 Mar 2012
Working Paper Series
University of Technology, Sydney - UTS Business School, Finance Discipline Group and UNSW Australia
Downloads 130
154.

Modelling Dependence in Insurance Claims Processes with Lévy Copulas

ASTIN Bulletin, Vol. 41, No. 2, pp. 575-609
Number of pages: 25 Posted: 03 Aug 2011 Last Revised: 06 Jan 2012
Accepted 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 127
155.

Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk

Number of pages: 26 Posted: 09 Sep 2010 Last Revised: 07 Mar 2011
Working Paper Series
Stanford University - Department of Statistics, Stanford University - Management Science & Engineering and Stanford University - Department of Statistics
Downloads 126
156.

Information-Equivalence: On Filtrations Created by Independent Increments

Number of pages: 10 Posted: 01 Jun 2006 Last Revised: 05 Jan 2009
Working Paper Series
JP Morgan
Downloads 123
157.

Large Portfolio Asymptotics for Loss from Default

Mathematical Finance, Forthcoming
Number of pages: 29 Posted: 06 Sep 2011 Last Revised: 04 Nov 2020
Accepted Paper Series
Stanford University - Management Science & Engineering, Brown University - Division of Applied Mathematics, University of Illinois at Urbana-Champaign - Department of Mathematics and Imperial College London - Department of Mathematics

Multiple version iconThere are 2 versions of this paper

Downloads 122
158.

Optimal Price-Lead Time Menus for Queues with Customer Choice: Priorities, Pooling & Strategic Delay

Rotman School of Management Working Paper No. 2318157
Number of pages: 38 Posted: 31 Aug 2013 Last Revised: 29 May 2015
Working Paper Series
University of Toronto - Rotman School of Management and Wilfrid Laurier University - School of Business & Economics
Downloads 122
159.

Application Development Using Fault Data

Production and Operations Management, Vol. 17, No. 2, pp. 162-174, March-April 2008
Number of pages: 13 Posted: 22 Feb 2008 Last Revised: 28 Apr 2014
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 121
160.

Interpretable Optimal Stopping

Management Science, Forthcoming, INSEAD Working Paper No. 2020/01/TOM
Number of pages: 85 Posted: 03 Oct 2018 Last Revised: 09 Jan 2020
Working Paper Series
INSEAD and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 121
161.

Optimal Stopping for Medical Treatment with Predictive Information: Theory and Application in ICU Mechanical Ventilation

Number of pages: 74 Posted: 13 Jun 2019 Last Revised: 17 Aug 2020
Working Paper Series
National University of Singapore (NUS) - Institute of Operations Research and Analytics, School of Management, University of Science and Technology of China and Singapore Management University - Lee Kong Chian School of Business
Downloads 121
162.

Optimization of Operational Decisions in Digital Advertising: A Literature Review

Forthcoming in Channel Strategies and Marketing Mix in a Connected World, (Eds.) Saibal Ray and Shuya Yin, Springer., 2018
Number of pages: 51 Posted: 10 Nov 2018 Last Revised: 13 Nov 2018
Accepted Paper Series
Santa Clara University - Leavey School of Business, Santa Clara University - Leavey School of Business and Santa Clara University - Leavey School of Business
Downloads 121
163.

A Subordinated Markov Model for Stochastic Mortality

European Actuarial Journal, (2012) 2:105–127
Number of pages: 23 Posted: 26 Oct 2011 Last Revised: 26 Aug 2012
Accepted Paper Series
University of Western Ontario and Department of Statistical Sciences, University of Toronto
Downloads 120
164.

Modeling Pipeline Driving Behaviors: A Hidden Markov Model Approach

Zou, Xi and David Levinson (2006) Modeling Pipeline Driving Behaviors: A Hidden Markov Model Approach. Journal of the Transportation Research Board: Transportation Research Record #1980 (Driver Behavior, Older Drivers, Simulation, User Information Systems, and Visualization) pp. 16-23.
Number of pages: 36 Posted: 04 Feb 2008
Accepted Paper Series
affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 120
165.

Dynamic Control in Multi-Item Production/Inventory Systems

Number of pages: 29 Posted: 14 Nov 2014
Working Paper Series
St. Gallen University of Applied Sciences (FHS) - Institute of Modelling and Simulation (IMS-FHS), University of Mannheim, Business School and Eindhoven University of Technology (TUE)
Downloads 119
166.

A Surge-Type Pricing in Ridesharing Systems is Stability Optimal

Number of pages: 21 Posted: 22 Mar 2018
Working Paper Series
Singapore University of Technology and Design (SUTD) and Athens University of Economics and Business - Department of Informatics
Downloads 118
167.

Generalized Direct Sampling for Hierarchical Bayesian Models

McCombs Research Paper Series No. IROM-02-11, MIT Sloan Research Paper No. 4925-11
Number of pages: 30 Posted: 10 Aug 2011 Last Revised: 26 Sep 2012
Working Paper Series
Southern Methodist University (SMU) - Marketing Department and University of Texas at Austin - McCombs School of Business
Downloads 118
168.

Optimal Learning Algorithms for Stochastic Inventory Systems with Random Capacities

Number of pages: 42 Posted: 02 Dec 2018 Last Revised: 10 Feb 2020
Working Paper Series
University of Michigan at Ann Arbor, College of Engineering, Department of Industrial and Operations Engineering, Students, University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering and University of Michigan, Stephen M. Ross School of Business
Downloads 117
169.

A New Numerical Scheme for a Class of Reflected Stochastic Differential Equations

Monte Carlo Methods and Applications, 19(4): 273--279, 2013
Number of pages: 6 Posted: 31 May 2011 Last Revised: 04 Feb 2014
Accepted Paper Series
Nanjing University - School of Management and Engineering
Downloads 116
170.

Minimum Average Cost Production Planning in Stochastic Manufacturing Systems

Mathematical Models and Methods in Applied Sciences, Vol. 8, No. 7, pp. 1251-1276, November 1998
Number of pages: 25 Posted: 18 Apr 2008 Last Revised: 30 Apr 2014
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and University of Georgia - Department of Mathematics
Downloads 115
171.

Optimal Ordering Policies for Inventory Problems with Dynamic Information Delays

Production and Operations Management,Vol. 16, No. 2, pp. 241-256, March-April 2007
Number of pages: 16 Posted: 12 Feb 2008 Last Revised: 10 Apr 2014
Accepted 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 115
172.

Default Clustering in Large Portfolios: Typical Events

Annals of Applied Probability, Forthcoming
Number of pages: 40 Posted: 09 Jan 2011 Last Revised: 29 Apr 2012
Accepted Paper Series
Stanford University - Management Science & Engineering, Brown University - Division of Applied Mathematics and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 113
173.

Continuous-Time Mean Field Games with Finite State Space and Common Noise

Number of pages: 34 Posted: 02 Oct 2019 Last Revised: 15 May 2020
Working Paper Series
Technische Universität Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Trier and University of Trier
Downloads 111
174.

Numerical Study of Small-Jump Regularization on Exotic Contracts in Levy Markets

Number of pages: 53 Posted: 06 Mar 2009
Working Paper Series
affiliation not provided to SSRN
Downloads 111
175.

Robustness of Various Production Control Policies in Semiconductor Manufacturing

Productions and Operations Management, Vol. 9, No. 2, pp. 171-183, Summer 2000
Number of pages: 13 Posted: 12 Feb 2008
Accepted Paper Series
The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management, Independent and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 110
176.

Stochastic Multi-Product Inventory Models with Limited Storage

Journal of Optimization Theory and Applications, Vol. 111, No. 3, pp. 553-588, December 2001
Number of pages: 34 Posted: 19 Feb 2008 Last Revised: 18 Jan 2009
Accepted Paper Series
M-Factor, Inc., University of Texas at Dallas - Naveen Jindal School of Management and affiliation not provided to SSRN
Downloads 109
177.

ERM in an Optimal Control Framework

UNSW Business School Research Paper No. 2015ACTL17
Number of pages: 31 Posted: 31 Oct 2015
Working Paper Series
UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 108
178.

Preemptive Capacity Investment Under Uncertainty

Number of pages: 18 Posted: 23 Jan 2011 Last Revised: 24 Jun 2012
Working Paper Series
Cranfield School of Management, WHU - Otto Beisheim School of Management and University of Cyprus - Department of Public and Business Administration
Downloads 107
179.

Behavior-Aware Queueing: The Finite-Buffer Setting with Many Strategic Servers

Number of pages: 87 Posted: 15 Jul 2020 Last Revised: 31 Aug 2020
Working Paper Series
The University of Chicago Booth School of Business, Smith School of Business at Queen's University and The University of Chicago Booth School of Business
Downloads 106
180.
Downloads 106
181.

The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games

SIAM Control and Optimization, Forthcoming
Number of pages: 25 Posted: 25 Mar 2014 Last Revised: 27 Jan 2015
Accepted Paper Series
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 105
182.

Heart Analytics: Analytical Modeling of Cardiovascular Care

Naval Research Logistics, Forthcoming
Number of pages: 29 Posted: 13 May 2019 Last Revised: 05 Nov 2019
Accepted Paper Series
Johns Hopkins University - Carey Business School, Johns Hopkins University - Johns Hopkins Medical Institutions, Johns Hopkins University - School of Medicine and Johns Hopkins University - School of Nursing
Downloads 104
183.

On Incomplete Learning and Certainty-Equivalence Control

Operations Research, Vol. 66, No. 4, July-August 2018, pp. 1136-1167, Columbia Business School Research Paper No. 17-63
Number of pages: 57 Posted: 12 Jun 2017 Last Revised: 01 Oct 2018
Accepted Paper Series
Duke University - Fuqua School of Business and Columbia Business School - Decision Risk and Operations
Downloads 104
184.

Economic Evaluation of Systems that Expedite Inventory Information

Production and Operations Management Society, Vol. 16, No. 3, pp. 360-368, May-June 2007
Number of pages: 9 Posted: 12 Feb 2008
Accepted 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 103
185.

General Model for Limit Order Books and Market Orders

Number of pages: 21 Posted: 11 May 2014 Last Revised: 05 Aug 2014
Working Paper Series
UQAM
Downloads 103
186.

Discrete Stochastic Autoregressive Volatility

Number of pages: 36 Posted: 18 Jun 2013 Last Revised: 12 Mar 2014
Working Paper Series
Winthrop University - College of Business Administration and UNC Charlotte - Belk College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 102
187.

Capacity and Production Decisions in Stochastic Manufacturing Systems: An Asymptotic Optimal Hierarchical Approach

Production and Operations Management, Vol. 1, No. 4, pp. 367-392, Fall 1992
Number of pages: 26 Posted: 12 Feb 2008
Accepted Paper Series
University of Missouri at Columbia - Department of Mathematics (Deceased), University of Georgia - Department of Mathematics and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 101
188.

Optimal Pricing of a Personalized Product

Journal of Systems Science and Systems Engineering, January 2008
Number of pages: 6 Posted: 16 Feb 2008 Last Revised: 01 May 2014
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management
Downloads 101
189.

Providing Data Samples for Free

USC Marshall School of Business Research Paper
Number of pages: 38 Posted: 29 Jun 2020
Working Paper Series
University of Southern California and Fuqua School of Business
Downloads 101
190.

Strategic Service Logistics Games with Customer-Induced Competition

Number of pages: 49 Posted: 21 Jul 2018 Last Revised: 12 Apr 2019
Working Paper Series
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 99
191.

Clinical Ambiguity and Conflicts of Interest in Interventional Cardiology Decision-Making

Number of pages: 38 Posted: 17 Jul 2020 Last Revised: 21 Aug 2020
Working Paper Series
Johns Hopkins University - Carey Business School, Renmin University of China and Johns Hopkins University - School of Medicine
Downloads 98
192.

Financial Density Forecasts: A Comprehensive Comparison of Risk-Neutral and Historical Schemes

Journal of Forecasting. Doi.org/10.1002/for.2521
Number of pages: 25 Posted: 11 Sep 2017 Last Revised: 03 Feb 2020
Accepted Paper Series
Comisión Nacional del Mercado de Valores (CNMV) and Caixa Bank Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 98
193.

Stochastic Period and Cohort Effect State-Space Mortality Models Incorporating Demographic Factors via Probabilistic Robust Principle Components

Number of pages: 92 Posted: 01 Jun 2017
Working Paper Series
School of Mathematical and Physical Sciences, University of Technology Sydney, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Commonwealth Bank of Australia and Macquarie University
Downloads 98
194.

Assessing Multi-Modality Breast Cancer Screening Strategies for BRCA 1/2 Gene Mutation Carriers and Other High-Risk Populations

Number of pages: 65 Posted: 13 Mar 2018
Working Paper Series
Georgia Institute of Technology, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Government of the United States of America - Centers for Disease Control and Prevention (CDC)
Downloads 96
195.

An Analytical Study of Search Engine Optimization (SEO) Techniques: To Maximize Number of Travelers on an E-Content Material Website

International Journal of Management (IJM), 11 (1), 2020, pp. 114–119.
Number of pages: 6 Posted: 09 Mar 2020
Accepted Paper Series
Research Scholar & Assistant Professor, Department of Management Studies, Bharath Institute of Higher Education and Research, Chennai, India and Associate Professor & Research Supervisor, Department of Management Studies, Bharath Institute of Higher Education and Research (BIHER), India
Downloads 95
196.

High-Dimensional Dynamic Stochastic Model Representation

Number of pages: 27 Posted: 11 Jun 2020
Working Paper Series
Università della Svizzera italiana - Institute of Computational Science and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 95
197.

Optimal Dividends and Capital Injections in the Dual Model with Diffusion

ASTIN Bulletin, Vol. 41, No. 2, pp. 611-644
Number of pages: 25 Posted: 25 Aug 2011 Last Revised: 06 Jan 2012
Accepted 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 95
198.

Optimal Ordering Policy and Value of Information under Delayed Lost Sales Observations

McCombs Research Paper Series No. IROM-05-09
Number of pages: 30 Posted: 05 Nov 2008 Last Revised: 18 Jan 2009
Working Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, 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 95
199.

Optimality of (s, S) Policies for a Stochastic Inventory Model with Proportional and Lump-Sum Shortage Costs

Number of pages: 14 Posted: 03 Feb 2010 Last Revised: 27 Nov 2019
Working Paper Series
Kuwait University - College of Science and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 95
200.

A Hierarchical Bayesian Approach to Robust Parameter Design

Number of pages: 23 Posted: 01 Feb 2008
Working Paper Series
University of Southern Denmark - Department of Statistics, University of Antwerp and Katholieke Universiteit Leuven - Faculty of Business and Economics
Downloads 94