We characterize the optimal incentive scheme for a manager who faces costly effort decisions and whose ability to generate profits for the firm varies stochastically over time. The optimal contract is obtained as the solution to a dynamic mechanism design problem with hidden actions and...

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...

A convergence model with wealth accumulation subject to i.i.d. random shocks is examined. The transfer function shows what k_{t+1} - wealth at t+1 - would be, given k_t, with no shock: It has a positive slope, but its concavity/convexity is indeterminate. The stationary distribution of wealth...

A convergence model in which wealth accumulation is subject to i.i.d. random shocks is examined. The accumulation functions shows what k_{t+1} - wealth at t+1 - would be given k_t and with no shock. It has a positive slope, but its concavity or convexity is indeterminate. The focus is the...

This paper presents methods for prediction of energy consumption of different appliances in homes. The aim is to predict the next day electricity consumption for some services in homes. Historical data for a set of homes in France was used. Two basic predictors are tested and a stochastic based...

Quicksort on the fly returns the input of n reals in increasing natural order during the sorting process. Correctly normalized the running time up to returning the l-th smallest out of n seen as a process in l converges weakly to a limiting process with path in the space of cadlag functions.

Incidents are notorious for their delays to road users. Secondary incidents – i.e., incidents that occur within a certain temporal and spatial distance from the first/primary incident – can further complicate clearance and add to delays. While there are numerous studies on the empirical...

Wavelets are known to have intimate connections to several other parts of mathematics, notably phase-space analysis of signal processing, reproducing kernel Hilbert spaces, coherent states in quantum mechanics, spline approximation theory, windowed Fourier transforms, and filter banks. Here, we...

In this paper the authors investigate the performance of the original and repeated Richardson extrapolation methods for American option pricing by implementing both the original and modified Geske–Johnson approximation formulae. A comprehensive numerical comparison includes alternative...

We study a decentralized supply chain where only delayed market demand information is available for making replenishment decisions. The impact of this delay is quantified in a serially linked two-level supply chain where each player exploits the order-up-to replenishment policy. The market...