Financial data are often assumed to be generated by diffusions. Using recent results of Fan et al. (J Am Stat Assoc, 102:618–631, 2007; J Financ Econometer, 5:321–357, 2007) and a multiple comparisons procedure created by Benjamini and Hochberg (J R Stat Soc Ser B, 59:289–300, 1995), we...

We consider a scheduling problem in which the processing time of each job deteriorates, i.e. it increases as time passes after the release date of the job. We present a dynamic programming algorithm coupled with upper bounding and lower bounding techniques to compute exact solutions. We report...

The class of Construct and Charge (CC-) rules for minimum cost spanning tree (mcst) situations is considered. CC-rules are defined starting from the notion of charge systems, which specify particular allocation protocols rooted on the Kruskal algorithm for computing an mcst. These protocols can...

For inequality constrained optimization problem, we show the existence of local saddle point of generalized augmented Lagrangian under weak second-order sufficient conditions which are weaker than the second-order sufficient conditions in the literature. We further discuss the existence of...

We consider a dynamic planning problem for paratransit transportation. The focus is on a decision to take one day ahead: which requests to serve with own vehicles, and which requests to subcontract to taxis? We call this problem the day-ahead paratransit planning problem. The developed model is...

This work is concerned with controlled Markov chains with finite state and action spaces. It is assumed that the decision maker has an arbitrary but constant risk sensitivity coefficient, and that the performance of a control policy is measured by the long-run average cost criterion. Within this...

We develop a general approach to portfolio optimization taking account of estimation risk and stylized facts of empirical finance. This is done within a Bayesian framework. The approximation of the posterior distribution of the unknown model parameters is based on a parallel tempering algorithm....

It is often objected that we cannot use mathematical methods in finance because (1) finance is dominated by unpredictable unique events (the black swans), (2) there are qualitative effects that cannot be quantified, and (3) the laws themselves of finance keep on changing. In this paper we...

Although asset return distributions are known to be conditionally leptokurtic, this fact has rarely been addressed in the recent GARCH model literature. For this reason, we introduce the class of smoothly truncated stable distributions (STS distributions) and derive a generalized GARCH option...

This paper provides strong bounds on perturbations over a collection of independent random variables, where ‘strong’ has to be understood as uniform w.r.t. some functional norm. Our analysis is based on studying the concept of weak differentiability. By applying a fundamental result from the...