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

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

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

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

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

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

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

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

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

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