We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset?s filtration, and the intensity of the default time. We...

Previous work on multifactor term structure models has proposed that the short rate process is a function of some unobserved diffusion process. We consider a model in which the short rate process is a function of a Markov chain which represents the 'state of the world'. This enables us to obtain...

Filtering and parameter estimation techniques from Hidden Markov Models are applied to a discrete time asset allocation problem. For the commonly used mean-variance utility explicit optimal strategies are obtained

This paper is intended to elaborate regime switching and optimal investment timing in a real option framework. The paper differs from the existing literature in a significant way. In this paper we first consider an irreversible investment timing decision by adding a hidden Markov process to...

To improve the productivities of an automated container terminal, it is important to schedule different types of handling equipment in an integrated way. A mixed-integer programming model, which considers various constraints related to the integrated operations between different types of...

In the crowd security research area a primary concern is to identify the macro state of crowd behaviors to prevent disasters and to supervise the crowd behaviors. The entropy is used to describe the macro state of a self-organization system in physics. The entropy change indicates the system...

Global warming is predicted to have adverse effects on crop productivity and will present an enormous challenge to sustainable development and food security, especially in dryland regions. Prior studies have identified that adapted crop cultivars could effectively act to offset the effects of...

We propose a structural model to study the effect of online product reviews on consumer purchases of experiential products. Such purchases are characterized by limited repeat purchase behavior of the same product item (such as a book title) but significant past usage experience with other...

Rain-fed maize production in semi-arid areas of the Loess Plateau in China is constrained by low temperatures and water limitations during the early growth stage. Traditionally, gravel mulching was an effective strategy to increase soil temperature and moisture and, therefore, crop production;...

Boron-doped ZnO (BZO) films deposited by metal organic chemical vapor deposition (MOCVD) generally act as transparent conductive oxide films in hydrogenated amorphous silicon (a-Si:H) solar cells and exhibit a high external quantum efficiency (EQE) performance in the short-wavelength region....