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Recently there has been considerable interest in Markovian stochastic fluid flow models. A number of authors have used different methods to calculate quantities of interest. In this paper, we consider a fluid flow model, formulated so that time is preserved, and derive expressions for return...
Persistent link: https://www.econbiz.de/10008873065
We investigate a commodity trading problem in a flow network with arbitrary topology where sinks combine commodities into bundles in order to generate profits. Our focus is the profit maximization problem for the trading network under both central and distributed control. We compute solutions...
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We introduce the Stochastic Fluid–Fluid Model, which offers powerful modeling ability for a wide range of real-life systems of significance. We first derive the infinitesimal generator, with respect to time, of the driving stochastic fluid model. We then use this to derive the infinitesimal...
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A recent study linked the behavior of buying and selling in financial markets to the phenomenon of phase transitions that occur in physical systems with many interacting components. We urge caution with such findings. In particular, we show that the statistical technique employed in the study...
Persistent link: https://www.econbiz.de/10005050502
Improved energy efficiency is a key policy goal of all International Energy Agency (IEA) member countries, but tracking energy efficiency gains is not straightforward. As part of its contribution to the G8 Gleneagles Plan of Action, the IEA has been developing in-depth indicators--tools that...
Persistent link: https://www.econbiz.de/10008863591