Stochastic programs inevitably get huge if they are to model real life problems accurately. Nowadays only massive parallel machines can solve them but at a cost few decision makers can afford. We report hereon a deterministic equivalent linear programming model of 1,111,112 constraints and...

This paper solves the pure consumption Grossman model numerically following dynamic programming method, and undertakes sensitivity analysis of the optimal length of life. This is the first analysis that treats the determination of optimal length of life explicitly with numerical analysis.

This paper solves the pure consumption Grossman model numerically following dynamic programming method, and undertakes sensitivity analysis of the optimal length of life. This is the first analysis that treats the determination of optimal length of life explicitly with numerical analysis.

This paper investigates the behavior of long zero-coupon rates and its consequences for usual arbitrage models of the term structure.

We introduce a new method, called "customer oriented finite perturbation analysis" (CFPA), for sensitivity estimation for discrete event dynamic systems (DEDS). We discuss the CFPA algorithm and applying a new proof technique we obtain necessary conditions for CFPA to yield an unbiased estimator...

Relaxing the concavity assumption to quasi-concavity in the classical programming problem strengthens the Theory of the Consumer but is said to weaken that of the firm. This paper combines the Euler equation and the concept of sub-manifolds to show that there may be stable, multiple or unique...

The purpose of this paper is to extend Himmelberg's fixed point theorem replacing the usual convexity in topological vector spaces by an abstract topological notion of convexity which generalizes classical convexity as well as several metric convexity structures found in the literature. We prove...

We consider a Kiefer process indexed by [0,1] x F, where F is a Donsker class of functions. We give a necessary and sufficient condition for a Strassen-type functional law of the iterated logarithm to hold for this process on C ([0,1] x F) endowed with a topology defined by a general class of...