We deal with a finite-buffer bulk-service queue with disasters. The arrival streams of units and disasters are Markovian arrival processes (MAPs). We study the stationary distribution of the embedded Markov chain at post-departure epochs. The block structure allows us to derive a general...

In this paper weighted singularly perturbed hybrid stochastic systems are discussed. Under some reasonable assumptions, it is shown that there exists a uniformly δ-optimal policy when the perturbation is sufficiently small. Copyright Springer-Verlag Berlin Heidelberg 2005

A basic algorithm for the minimization of a differentiable convex function (in particular, a strictly convex quadratic function) defined on the convex hull of m points in R <Superscript> n </Superscript> is outlined. Each iteration of the algorithm is implemented in barycentric coordinates, the number of which is equal to...</superscript>

Managers wish to motivate workers to exert effort. There is large literature on the use of wages and monetary incentives for this purpose, but in practice the “honor” or “prestige” of an award can be a significant motivator as well, unless the award is given so often that its prestige is...

As an extension of the discrete-time case, this note investigates the variance of the total cumulative reward for the embedded Markov chain of semi-Markov processes. Under the assumption that the chain is aperiodic and contains a single class of recurrent states recursive formulae for the...

We consider the classical Cramér-Lundberg model with dynamic proportional reinsurance and solve the problem of finding the optimal reinsurance strategy which minimizes the expected quadratic distance of the risk reserve to a given benchmark. This result is extended to a mean-variance problem....

In this paper, we study the problem of a variety of nonlinear threshold autoregressive model X <Subscript> n </Subscript> <Subscript>+1</Subscript>=ϕ(X <Subscript> n </Subscript>)+ɛ<Subscript> n </Subscript> <Subscript>+1</Subscript>(Z <Subscript> n </Subscript> <Subscript>+1</Subscript>) in which {Z <Subscript> n </Subscript>} is a Markov chain with finite state space, and for every state i of the Markov chain, {ɛ<Subscript> n </Subscript>(i)} is a sequence of independent and identically...</subscript></subscript></subscript></subscript></subscript></subscript></subscript></subscript></subscript>

This paper deals with continuous-time zero-sum two-person Markov games with denumerable state space, general (Borel) action spaces and possibly unbounded transition and reward/cost rates. We analyze the bias optimality and the weakly overtaking optimality criteria. An example shows that, in...

We study the availability analysis of three different series system configurations with warm standby components and general repair times. The time-to-failure for each of the primary and warm standby components is assumed to be exponentially distributed with respective parameter λ and α. This...

In the CRR model we introduce a transaction cost structure which covers piecewise proportional, fixed and constant costs. For a general utility function we formulate the problem of maximizing the expected utility of terminal wealth as a Markov control problem. An existence result is given and...