We present a new method of estimating the asset stochastic volatility and return. In doing so, we overcome some of the limitations of the existing random walk models, such as the GARCH/ARCH models.

This paper is concerned with the problem of production planning in a flexible manufacturing system consisting of a single or parallel failure-prone machines producing a number of different products. The objective is to choose the rates of production of the various products over time in order to...

This paper is concerned with explicit optimal control for a deterministic manufacturing system consisting of a single reliable machine and producing two part types studied by Connolly (Master Thesis, Operations Research Center, MIT, Cmbridge, 1992) and Gershwin (Manufacturing Systems...

This paper is concerned with the optimal production planning in a dynamic stochastic manufacturing system consisting of a single machine that is failure prone and facing a constant demand. The objective is to choose the rate of production over time in order to minimize the long-run average cost...

We are interested in obtaining rates of production of intermediate parts and finished products in a manufacturing system consisiting of a network of machines. The objective is to meet demand for finished products at the minimum possible total discounted cost of production, inventories, and...

This paper is concernced with hierarchical decisions regarding production and investment in capacity in manufacturing systems with production subject to breakdown and repair. The production capacity can be increased by investing continuously in new capacity which is available upon completion....

This paper presents an asymptotic analysis of a stochastic manufacturing system consisting of parallel machines subject to breakdown and repair and facing a constant demand, as the rates of change of the machine states approach infinity. This situation gives rise to a limiting problem in which...

This paper is concerned with near-optimal control of manufacturing systems consisting of two unreliable machines in tandem and having the objective of minimizing the total discounted cost of inventories/shortages over an infinite horizon. Asymptotic optimal feedback controls are constructed with...

This paper presents an extension of earlier research on hierarchical control of stochastic manufacturing systems with long-run average cost in which a positive inventory deterioration/cancellation rate for each product is assumed. Here we drop the assumption of the positive inventory...