This paper evaluates the discrete bid first-price sealed-bid (FPSB) auction in a model with a general value distribution. We show that a symmetric Bayesian Nash equilibrium exists for the discrete bid FPSB auction. We further prove that the discrete bid FPSB equilibrium conditionally converges...

Based on cluster analysis, a novel method is introduced in this paper to generate multistage scenarios. A linear programming model is proposed to exclude the arbitrage opportunity by appending a scenario to the generated scenario set. By means of a cited stochastic linear goal programming...

We study financial market incompleteness induced by discontinuities in asset returns. When there are multiple outcomes for a discontinuity, it is shown that this incompleteness cannot be removed by the introduction of extra securities. Claims cannot be hedged and are thereby not uniquely priced...

We study a tandem queueing system with K servers and no waiting space in between. A customer needs service from one server but can leave the system only if all down-stream servers are unoccupied. Such a system is often observed in toll collection during rush hours in transportation networks, and...

We consider a single-period distribution system with one supplier and two retailers. The supplier may have infinite or finite capacity. The demand at each retailer is random. When a stockout occurs at one retailer the customer may go to the other retailer. We study both the decentralized and...

In this paper, we study a joint optimization problem of replenishment and pricing for a periodic-review inventory system with random supply capacity. When making replenishment and pricing decisions at the beginning of each period, the firm only knows the supplier's available capacity in the...