This paper presents a binary optimization framework for modeling dynamic resource allocation problems. The framework (a) allows modeling flexibility by incorporating different objective functions, alternative sets of resources and fairness controls; (b) is widely applicable in a variety of...

Continuous-time stochastic processes have become central to many disciplines, yet the fact that they are approximations to physically realizable phenomena is often overlooked. We quantify one aspect of the approximation errors of continuous-time models by investigating the replication errors...

We derive dynamic optimal trading strategies that minimize the expected cost of trading a large block of equity over a fixed time horizon. Specifically, given a fixed block $\overline{S}$ of shares to be executed within a fixed finite number of periods $T$, and given a price-impact function that...

We present a model to describe the inbound air traffic over a congested hub and we show that this model gives a very accurate description of the traffic by comparing our theoretical distribution of the queue with the actual distribution observed at Heathrow airport. We also discuss the...