Recently, Cai et al. (2015) proposed closed-form double transform approxima- tion formulas for prices of both discretely and continuously monitored Asian options under the setting of a general continuous-time Markov chain. In this note, we analytically invert the Z−transform and the Laplace...

In an assemble-to-order system, a wide variety of products are rapidly assembled from component inventories, in response to customer orders. Orders must be filled within a productspecific target leadtime. In the event that some of the components required to fill an order are out-of-stock, these...

After the financial crisis, a financial innovation, the central clearing counterparty (CCP) has been proposed and proved its importance in facilitating the clearing of interbank liabilities. In its original design, there is a possibility that the CCP may go default, and thus jeopardizing the...

We establish a novel duality relationship between continuous and discrete non-negative additive functionals of stochastic (not necessarily Markovian) processes and their right inverses. For general Markov processes, we further extend and develop a theoretical and computational framework for the...

We consider an assemble-to-order system with a high volume of prospective customers arriving per unit time. A companion paper established that with optimal product prices, component production capacity, and sequencing of orders for assembly, the system can be approximated by a diffusion process...

We consider an assemble-to-order system with a high volume of prospective customers arriving per unit time. Our objective is to maximize expected infinite horizon discounted profit by choosing product prices, component production capacities, and a dynamic policy for sequencing customer orders...