We consider the optimal sequential irreversible investment policy of a value maximizing firm facing decreasing returns to scale and interest rate uncertainty. We characterize the optimal accumulation policy and its value for a broad class of diffusion models of the short interest rate by...

We consider asymptotic expansions for defective and excessive renewal equations that are close to being proper. These expansions are applied to the analysis of processor sharing queues and perturbed risk models, and yield approximations that can be useful in applications where moments are...

This paper is devoted to studying continuous-time Markov decision processes with general state and action spaces, under the long-run expected average reward criterion. The transition rates of the underlying continuous-time Markov processes are allowed to be unbounded, and the reward rates may...

We develop a framework for analyzing an executive’s own-company stockholding and work effort preferences. The executive, characterized by risk aversion and work effectiveness parameters, invests his personal wealth without constraint in the financial market, including the stock of his own...

We study the stability of subcritical multi-class queueing networks with feedback allowed and a work-conserving head-of-the-line service discipline. Assuming that the fluid limit model associated to the queueing network satisfies a state space collapse condition, we show that the queueing...

The paper deals with the assignment of a single server to two retrial queues. Each customer reapplies for service after an exponentially distributed amount of time. The server operates at customer dependent exponential rates. There are holding costs and costs during service per customer and per...

In this paper we study the dividend optimization problem for a corporation or a financial institution when the management faces (regulatory) implementation delays. We consider several cash reservoir models for the firm including two mean-reverting processes, Ornstein–Uhlenbeck and square-root...

Facility layout problems involve the location of facilities in a planar arrangement such that facilities that are strongly connected to one another are close to each other and facilities that are not connected may be far from one another. Pairs of facilities that have a negative connection...

Whereas the buffer content of batch-service queueing systems has been studied extensively, the customer delay has only occasionally been studied. The few papers concerning the customer delay share the common feature that only the moments are calculated explicitly. In addition, none of these...

We study the complexity of finding extreme pure Nash equilibria in symmetric network congestion games and analyse how it is influenced by the graph topology and the number of users. In our context best and worst equilibria are those with minimum or maximum total latency, respectively. We...