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1. |
A stochastic jump inventory model with deteriorating items |
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Stochastic Analysis and Applications,
Volume 18,
Issue 1,
2000,
Page 1-10
Lakhdar Aggoun,
Lakdere Benkherouf,
Lotfi Tadj,
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摘要:
In this paper, a single product continuous time stochastic inventory model for deteriorating items, driven by a. conditional Poisson process, is suggested. It is assumed the process Ztmodulating the jump intensities of the Poisson process is a Markov chain. By observing the history of the inventory level, a finite dimensional filter for the conditional distribution of Ztis found. Further filters are found when the conditional Poisson process is replaced by an integer–valued random measure with predictable compensator depending on a right–constant sample paths process yt
ISSN:0736-2994
DOI:10.1080/07362990008809651
出版商:Marcel Dekker, Inc.
年代:2000
数据来源: Taylor
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2. |
Filtration stability of backward sde's |
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Stochastic Analysis and Applications,
Volume 18,
Issue 1,
2000,
Page 11-37
Fabio Antonelli,
Arturo Kohatsu-Higa,
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摘要:
This paper studies the stability of the solution of backward stochastic differential equations under small perturbations of the underlying filtration. The problem is interesting from the mathematical point of view, but also for its possible applications in Finance Theory, as it might represent a model to describe approximate information, inside or delayed information for an economic agent
ISSN:0736-2994
DOI:10.1080/07362990008809652
出版商:Marcel Dekker, Inc.
年代:2000
数据来源: Taylor
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3. |
Production set of failure prone flexible manufacturing systems1 |
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Stochastic Analysis and Applications,
Volume 18,
Issue 1,
2000,
Page 39-61
E.K. Boukas,
Q. Zhu,
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摘要:
For a flexible manufacturing system, determining the feasible production set at a given time is essential for production management. In this paper, we propose methods for estimating the production set for a general multi–part type failure prone flexible manufacturing system. We also discuss how to get an open loop control that can ensure the system producing at the margin of its expected production set and how to estimate the corresponding variance of the expected production set. Some special flexible manufacturing systems are discussed where we also suggest some simpler approximations. Numerical examples are presented to illustrate our algorithm
ISSN:0736-2994
DOI:10.1080/07362990008809653
出版商:Marcel Dekker, Inc.
年代:2000
数据来源: Taylor
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4. |
Exact bound for the convergence of metropolis chains |
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Stochastic Analysis and Applications,
Volume 18,
Issue 1,
2000,
Page 63-71
Haiyan Cai,
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PDF (153KB)
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摘要:
In this note, we present a calculation which gives us the exact bound for the convergence of Metropolis chains in a finite state space and therefore improves the existing results which are only for the upper bounds of such convergence (see the references below). Our result is based on an interesting observation on the transition probability of Metropolis chains
ISSN:0736-2994
DOI:10.1080/07362990008809654
出版商:Marcel Dekker, Inc.
年代:2000
数据来源: Taylor
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5. |
On the stability of the Kalman–Bucy filter with stationary time varying parameters |
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Stochastic Analysis and Applications,
Volume 18,
Issue 1,
2000,
Page 73-85
Slim Fakhfakh,
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摘要:
Linear filtering systems with stationary parameters are considered in continuous time. We generalize the conditionally Gaussian result of Lipster – Shiryaev and Haussmann – Pardoux. Moreover, we show that the Kalman – Bucy filter is exponentially stable under weak conditions of stabile ability and detect ability. This filter will have a well defined asymptotic behaviour
ISSN:0736-2994
DOI:10.1080/07362990008809655
出版商:Marcel Dekker, Inc.
年代:2000
数据来源: Taylor
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6. |
Alternative empirical distributions based on weighted linear combinations of order statistics |
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Stochastic Analysis and Applications,
Volume 18,
Issue 1,
2000,
Page 87-99
Theodore P. Hill,
James Mann,
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摘要:
A class of empirical distributions is introduced which are based on various weighted linear combinations of order statistics, and which have convergence properties the classical empirical distribution does not, or which stochastically or convexly dominate the classical empirical distribution
ISSN:0736-2994
DOI:10.1080/07362990008809656
出版商:Marcel Dekker, Inc.
年代:2000
数据来源: Taylor
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7. |
On the existence of solution to one–dimensional forward–backward sdes |
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Stochastic Analysis and Applications,
Volume 18,
Issue 1,
2000,
Page 101-111
Ying Hu,
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摘要:
In this paper, we study the existence of the solution to one-dimensional forward–backward stochastic differential equations with neither the smooth condition nor the monotonicity condition for the coefficients. Under the nondegeneracy condition for the forward equation, we prove the existence of the solution to one-dimensional forward–backward stochastic differential equations. And we apply this result to establish the existence of the viscosity solution to a certain one-dimensional quasilinear parabolic partial differential equation
ISSN:0736-2994
DOI:10.1080/07362990008809657
出版商:Marcel Dekker, Inc.
年代:2000
数据来源: Taylor
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8. |
Modifications in the discount sequence for bandit processes |
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Stochastic Analysis and Applications,
Volume 18,
Issue 1,
2000,
Page 113-123
Martin L. Jones,
Reginald Koo,
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摘要:
For discrete–timeK-armed Bandit Processes with discounting, the valueV(G,A) represents an observer's optimal expected gain using discount sequenceAand prior distribution G on the distributions governing theKarms or processes being observed. In this paper we address the question of which types of modifications in the discount sequence will change the value in a predictable manner. Both positive and negative results are obtained. For example, it is shown that for two-armed bandits with one arm known, permutations of a positive term with a zero term in the discount sequence will change the value in a predictable way, but that this result can not be extended to general two-armed bandits. We also show that there does not exist a ldquo;best information” arm in the sense that if the first term in each of two different discount sequences is zero then underGthe same arm will be selected for each discount sequence
ISSN:0736-2994
DOI:10.1080/07362990008809658
出版商:Marcel Dekker, Inc.
年代:2000
数据来源: Taylor
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9. |
Random approximations and random fixed point theorems for random 1-setn-contractive non-self-maps in abstract cones |
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Stochastic Analysis and Applications,
Volume 18,
Issue 1,
2000,
Page 125-144
Lishan Liu,
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摘要:
In this paper, we will prove that the random version of Fan's Theorem [6, Theorem 2] is true for a random hemicompact 1-set-contractive map defined on a closed ball, a sphere and an annulus in cones. This class of random 1-set-contractive map includes random condensing maps, random continuous semicontractive maps, randomLANEmaps, random nonexpansive maps and others. As applications of our theorems, some random fixed point theorems of non-self-maps are proved under various well-known boundary conditions. Our results are generalizations, improvements or stochastic versions of the recent results obtained by many authors
ISSN:0736-2994
DOI:10.1080/07362990008809659
出版商:Marcel Dekker, Inc.
年代:2000
数据来源: Taylor
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10. |
A random review replacement model for a system subject to compound poisson shocks |
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Stochastic Analysis and Applications,
Volume 18,
Issue 1,
2000,
Page 145-157
Y.I. Park,
K.C. Chae,
H.S. Lee,
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PDF (307KB)
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摘要:
We present a transform–free analysis of the following model. The state of the system is initially 0 and thereafter increases jumpwise due to compound Poisson shocks. Each shock increases the state by a random amount. The system is inspected at random points in time. If the state is above a threshold at an inspection, the system is replaced, otherwise no action is taken. Each replacement instantaneously brings the state back to 0. (Existing models assume either exponential interinspection times or discrete shock magnitudes.) This model can be applied to reliability, inventory, and queueing problems.Interpretations are given throughout to make the results easier to understand and to apply
ISSN:0736-2994
DOI:10.1080/07362990008809660
出版商:Marcel Dekker, Inc.
年代:2000
数据来源: Taylor
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