61 search results - page 3 / 13 » An Inverse-Quantile Function Approach for Modeling Electrici... |
WSC
2007
13 years 8 months ago
2007
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
MP
2006
13 years 6 months ago
2006
In this paper, we present a robust optimization formulation for dealing with demand uncertainty in a dynamic pricing and inventory control problem for a make-to-stock manufacturing...
TON
2002
13 years 5 months ago
2002
We consider a communication network with fixed routing that can accommodate multiple service classes, differing in bandwidth requirements, demand pattern, call duration, and routin...
GLOBECOM
2008
IEEE
13 years 6 months ago
2008
IEEE
This paper deals with a category of concavifiable functions that can be used to model inelastic traffic in the network. Such class of functions can be concavified within an interva...
MA
2011
Springer
13 years 1 months ago
2011
Springer
This paper suggests a new technique to construct first order Markov processes using products of copula functions, in the spirit of Darsow et al. (1992). The approach requires the...