This paper is concerned with an asymptotic analysis of hierarchical production and setup scheduling in a stochastic manufacturing system consisting of a single failure-prone machine and facing constant demands for a number of products. At any given time the system can only produce one type of...

In this paper, we treat an optimal control problem of a stochastic two-machine flowshop with machines subject to random breakdown and repair. While the problem is difficult to solve, it can be approximated by a deterministic problem when the rates of machine failure and repair become large....

We consider an N-machine flowshop with unreliable machines and bounds on work-in-process. Machine capacities and demand processes are finite-state Markov chains. The problem is to choose the rates of production on the machines over time to minimize the expected discounted costs of production and...

We present some insights obtained from the considerable research that has accumulated in proving that a hierarchical decomposition based on the frequencies of occurence of different types of events in the system results in near-optimal decisions as the rates of some events become large compared...

Order release policies such as card-controlled CONWIP policy aim at improving system responsiveness and minimizing system-wide inventory levels. It is not clear if order release policies (without card control) can be equally effective under certain settings of the production system design...

We consider calibration of log-normal stochastic volatility model and computation of option delta consistently with statistical dynamics of the asset price and its implied volatility surface. We introduce the concept of volatility skew-beta which serves as an empirical adjustment for empirical...

Let (X1, Y1), . . ., (Xn, Yn) be i.i.d. rvs and let l(x) be the unknown p-quantile regression curve of Y on X. A quantile-smoother ln(x) is a localised, nonlinear estimator of l(x). The strong uniform consistency rate is established under general conditions. In many applications it is necessary...

In this paper, we first develop some properties to state the relationships between the central moments and stochastic dominance for both the general utility functions and the polynomial utility functions. This leads to draw preferences of both risk averters and risk seekers on their choices of...

For the last decade, short-term rates of major currencies were consistently low and occasionally negative. Meanwhile, longer-term rates remained relatively high and volatile. This phenomenon added extra complexity to the the already formidably difficult task of pricing and hedging interest rate...

Brownian Motion has many interesting, well known properties. It also has some interesting, not-so-well-known properties. This note presents some related properties of the latter type that go by the name of Arcsine Laws. We will make as few assumptions as possible about prior knowledge of...