Typical methods in CRM marketing include action selection on the basis of Markov Decision Processes with fixed transition probabilities on the one hand, and scoring customers separ...
We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
In a dynamic market, being able to update one’s value based on information available to other bidders currently in the market can be critical to having profitable transactions. ...
We consider a market model with one riskfree and one risky asset, in which the dynamics of the risky asset is governed by a geometric Brownian motion. In this market we consider a...
This paper presents a computing technique for efficient parallel simulation of large-scale discrete-event models on the IBM Cell Broadband Engine (CBE), which has one Power Proces...
Qi Liu, Gabriel A. Wainer, Ligang Lu, Michael Perr...