General multiperiod optimal consumption and investment problems with proportional transaction costs are investigated in this paper, a <Emphasis Type="Bold">GARCH-type process is used to model the risky asset’s return series so that its time-varying moments and conditional heteroskedasticity can be properly...</emphasis>

In this paper, we characterise the compromise value of a game as the barycentre of the edges of its core cover. For this, we introduce the τ* value, which extends the adjusted proportional rule for bankruptcy situations and coincides with the compromise value on a large class of games....

This note introduces a new monotonicity property for sequencing situations. A sequencing rule is called drop out monotonic if no player will be worse off whenever one of the players decides to drop out of the queue before processing starts. This intuitively appealing property turns out to be...

This paper provides sufficient conditions when certain information about the past of a stochastic decision processes can be ignored by a controller. We illustrate the results with particular applications to queueing control, control of semi-Markov decision processes with iid sojourn times, and...

We develop a methodology for studying “large deviations type” questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a large class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals...