Titlebook: Stochastic Modeling and Optimization; With Applications in David D. Yao,Xun Yu Zhou,Hanqin Zhang Book 2003 Springer Science+Business Media

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An Interior-Point Approach to Multi-Stage Stochastic Programming,any newspapers to buy from a newspaper publisher. Let us assume that the publisher sells the newspaper to the boy at the price of $2 each paper, and the boy then sells the newspaper along the street at the price of $5 per copy. In the end of the day, the newsboy may return any unsold copies to the p

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A Brownian Model of Stochastic Processing Networks,control of manufacturing systems, and computer and telecommunication networks. However, exact analysis of such networks is inherently difficult and has been limited to some very simple instances. Hence, in the past 30 years, considerable efforts have been focused on studying the simpler approximatio

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A Markov Chain Method for Pricing Contingent Claims,ies of numerical techniques have been explored extensively for the valuation of contingent claims. The first category involves the use of a lattice structure to approximate the price movement of the underlying asset under the risk neutral probability measure and then computes the price of a continge

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