In this note we provide an explicit formula for the probability distribution function of the bankruptcy time in a general consumption/investment problem involving subsistence consumption and bankruptcy penalty

This paper solves a general continuous-time single-agent consumption and portfolio decision problem with subsistence consumption in closed form. The analysis allows for general continuously differentiable concave utility functions. The model takes into consideration that consumption must be no...

This paper is concerned with the problem of production planning in a stochastic manufacturing system with serial machines that are subject to breakdown and repair. The machine capacities are modeled by a Markov chain. The objective is to choose the input rates at the various machines over time...

This paper is concerned with the problem of production planning in a stochastic manufacturing system with serial machines that are subject to breakdown and repair. The machine capacities are modeled as Markov chains. Since the number of parts in the internal buffers between any two the problem...

This paper is concerned with a production planning problem in a two-machine flowshop subject to breakdown and repair of machines subject to nonnegativity constraints on work-in-process. The objective is to choose machine production rates over time to meet the demand facing the flowshop at a...

This paper is concerned with optimal production rates for a failure-prone machine that produces two distinct part types. We consider the problem of controlling production rates so as to minimize the expected long-run average cost of product surpluses over time. We assume constant per unit...