We present an integral equation approach for the valuation of American-style derivatives when the underlying asset price follows a general diffusion process and the interest rate is stochastic. Our contribution is fourfold. First, we show that the exercise region is determined by a single...

We analyze the behavior of closed product-form queueing networks when the number of customers grows to infinity and remains proportionate on each route (or class). First, we focus on the stationary behavior and prove the conjecture that the stationary distribution at non-bottleneck queues...

We address the procurement of new components for recyclable products in the context of Kodak's single-use camera. The objective is to find an ordering policy that minimizes the total expected procurement, inventory holding, and lost sales cost. Distinguishing characteristics of the system are...

We model a CONWIP (CONstant Work-in-Process) production line with deterministic processing times and exponential failure and repair times as a closed queueing network. We derive an approximation for the mean and variance of the output during a specified interval and give computable conditions...

With the rapid development of EVs (electric vehicles), the integration of PV (photovoltaic) generation with EV charging infrastructure can effectively improve the efficiency of clean energy utilization and carbon emission reduction. How to optimize the capacities of components in the PV-based...

This paper provides theoretical and practical insight into the solution of the investment project optimization problem under uncertainty. A case study recommends the use of statistical simulation, which is shown to be a powerful, practical, flexible and comprehensive tool for managerial...

It is well recognized that the left turn reduces the intersection capacity significantly, because some of the traffic lanes cannot be used to discharge vehicles during its green phases. In this paper, we operationalize the phase swap sorting strategy (Xuan, 2011) to use most, if not all, traffic...

Lot-sizing and capacity planning are important supply chain decisions, and competition and cooperation affect the performance of these decisions. In this paper, we look into the dynamic lot sizing and resource competition problem of an industry consisting of multiple firms. A capacity...

In recent years, the performance-based approach to contracting for medical services has been gaining popularity across different healthcare delivery systems, both in the United States (under the name of "pay for performance") and abroad ("payment by results" in the United Kingdom). The goal of...

In diagnostic services, agents typically need to weigh the benefit of running an additional test and improving the accuracy of diagnosis against the cost of delaying the provision of services to others. Our paper analyzes how to dynamically manage this accuracy/congestion trade-off. To that end,...