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IOR
2007
13 years 5 months ago
2007
We analyze a general market for an industry of competing service facilities. Firms differentiate themselves by their price levels and the waiting time their customers experience,...
IOR
2008
13 years 5 months ago
2008
In many service industries, companies compete with each other on the basis of the waiting time their customers experience, along with the price they charge for their service. A fi...
IOR
2008
13 years 5 months ago
2008
We introduce and study a randomized quasi-Monte Carlo method for estimating the state distribution at each step of a Markov chain. The number of steps in the chain can be random an...
IOR
2008
13 years 5 months ago
2008
We study the important problem of how a supplier should optimally share the consequences of demand uncertainty (i.e., the cost of inventory excesses and shortages) with a retailer...
IOR
2008
13 years 5 months ago
2008
This paper develops rare event simulation methods for the estimation of portfolio credit risk -- the risk of losses to a portfolio resulting from defaults of assets in the portfol...