Local (perturbation) methods compute solutions in one point and tend to deliver far lower accuracy levels than global solution methods. We develop a hybrid method that solves for some policy functions locally (using a perturbation method) and that solves for the other policy functions globally...

We show that Australian options are equivalent to fixed or floating strike Asian options and consequently that by studying Asian options from the Australian perspective and vice versa, much can be gained. One specific application of this “Australian approach” leads to a natural dimension...

We investigate the simultaneous production planning and quality control problem for an unreliable single machine manufacturing system responding to a single product type demand. The machine is subject to deteriorations, and their effect is observed mainly on the rate of defectives, which...

A review is provided for the recently published book “Water Quality Modelling for Rivers and Streams” by Marcello Benedini and George Tsakiris, Springer, Water Science and Technology Library Series, Vol. 70, 288p, ISBN 978-94-007-5508-6, 2013. Copyright Springer Science+Business Media...

This paper introduces a numerical method for solving concave continuous state dynamic programming problems which is based on a pair of polyhedral approximations of concave functions. The method is globally convergent and produces computable upper and lower bounds on the value function which can...