Cost-of-service is the typical regulatory scheme used for natural gas local distribution companies (LDCs). The profit of a regulated LDC is a return on investment, based on the capital she owns. The cost paid by consumers is, in general, equal to the cost incurred by the LDC for gas procurement...

We consider a portfolio optimization problem where the investor's objective is to maximize the long-term expected growth rate, in the presence of proportional transaction costs. This problem belongs to the class of stochastic control problems with singular controls, which are usually solved by...

We provide a computational study of the problem of optimally allocating wealth among multiple stocks and a bank account, in order to maximize the infinite horizon discounted utility of consumption. We consider the situation where the transfer of wealth from one asset to another involves...

The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrates that volatility is not constant and stochastic volatility models are used to account for dynamic volatility...

This paper describes a method to solve the free-boundary problem that arises in the pricing of American options. Most numerical methods for American option pricing exploit the representation of the option price as the expected pay-off under the risk-neutral measure and calculate the price for a...

This study investigates sequential appointment scheduling with service criteria. It uses a constraint-based approach with service criteria bounded in a constraint set in contrast to the more typical weighted linear objective function. Properties are derived and a sequential scheduling algorithm...