This paper develops a general stochastic model of a frictionless security market with continuous trading. The vector price process is given by a semimartingale of a certain class, and the general stochastic integral is used to represent capital gains. Within the framework of this model, we...

A paper by the same authors in the 1981 volume of Stochastic Processes and Their Applications presented a general model, based on martingales and stochastic integrals, for the economic problem of investing in a portfolio of securities. In particular, and using the terminology developed therein,...

Motivated by applications in financial services, we consider a seller who offers prices sequentially to a stream of potential customers, observing either success or failure in each sales attempt. The parameters of the underlying demand model are initially unknown, so each price decision involves...

Generalizing earlier work on staffing and routing in telephone call centers, we consider a processing network model with large server pools and doubly stochastic input flows. In this model the processing of a job may involve several distinct operations. Alternative processing modes are also...

We consider a call center model with m input flows and r pools of agents; the m-vector \lambda of instantaneous arrival rates is allowed to be time dependent and to vary stochastically. Seeking to optimize the trade-off between personnel costs and abandonment penalties, we develop and illustrate...

This paper considers a world in which pension funds may default, the cost of the associated risk of default is not borne fully by the sponsoring corporation, and there are differential tax effects. The focus is on ways in which the wealth of the shareholders of a corporation sponsoring a pension...

An individual is said to be potentially miscalibrated if he is not sure whether his future subjective probability assessments will agree with observed frequency. Alternately, the individual is said to be uncertain about his own calibration. It is argued that such a person will never perceive any...

We consider a two-dimensional diffusion process Z(t) = [Z1(t), Z2(t)] that lives in the half strip {0 [less-than-or-equals, slant] Z1 [less-than-or-equals, slant] 1, 0 [less-than-or-equals, slant] Z2 < [infinity]}. On the interior of this state space, Z behaves like a standard Brownian motion (independent components with zero drift and unit variance), and there is instantaneous reflection at the boundary. The reflection is in a direction normal to the boundary at Z1 = 1 and Z2 = 0, but at Z1 = 0 the reflection is at an angle [theta] below the normal (0<[theta]<[theta]). This process Z is shown to arise as the diffusion limit of a certain tandem storage or queuing system. It is shown that Z(t) has a nondefective limit distribution F as t --> [infinity], and the marginal distributions of F are computed explicitly. The marginal limit...</[infinity]}.>