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An Optimal Strategy for Pairs Trading Under Geometric Brownian Motions 期刊论文
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2018, 卷号: 179, 期号: 2, 页码: 654-675
作者:  Tie, Jingzhi;  Zhang, Hanqin;  Zhang, Qing
收藏  |  浏览/下载：212/0  |  提交时间：2018/11/16
Pairs trading  Optimal policy  Quasi-variational inequalities  93E20  91G80  49L20  
Optimal Policies for Brownian Inventory Systems With a Piecewise Linear Ordering Cost 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2017, 卷号: 62, 期号: 7, 页码: 3235-3248
作者:  Yao, Dacheng;  Chao, Xiuli;  Wu, Jingchen
收藏  |  浏览/下载：138/0  |  提交时间：2018/07/30
Brownian inventory system  general ordering cost  optimal control  (s, S) policy  singular control policy  
Classical mean-variance model revisited: pseudo efficiency 期刊论文
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2015, 卷号: 66, 期号: 10, 页码: 1646-1655
作者:  Cui, Xiangyu;  Duan, Li;  Yan, Jiaan
收藏  |  浏览/下载：154/0  |  提交时间：2018/07/30
mean-variance portfolio selection  minimum cost policy  binding budget spending  optimal wealth management  
THE OPTIMAL PRODUCTION AND SALES POLICY FOR A NEW PRODUCT WITH NEGATIVE WORD-OF-MOUTH 期刊论文
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2011, 卷号: 7, 期号: 1, 页码: 117-137
作者:  Yan, Xiaoming;  Cao, Ping;  Zhang, Minghui;  Liu, Ke
收藏  |  浏览/下载：126/0  |  提交时间：2018/07/30
Capacity constraint  word-of-mouth  new product  optimal policy  
Optimal control problems for a new product with word-of-mouth 期刊论文
INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS, 2009, 卷号: 119, 期号: 2, 页码: 402-414
作者:  Yan, Xiaoming;  Liu, Ke
收藏  |  浏览/下载：129/0  |  提交时间：2018/07/30
Production capacity  Negative word-of-mouth  New product  Optimal policy  
Asymptotically optimal production policies in dynamic stochastic jobshops with limited buffers 期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2006, 卷号: 317, 期号: 2, 页码: 398-428
作者:  Hou, YM;  Sethi, SP;  Zhang, HQ;  Zhang, Q
收藏  |  浏览/下载：140/0  |  提交时间：2018/07/30
optimal production policy  stochastic manufacturing systems  stochastic dynamic programming  discounted cost  asymptotic analysis  
An analysis of staged purchases in deregulated time-sequential electricity markets 期刊论文
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2005, 卷号: 1, 期号: 4, 页码: 443-463
作者:  Sethi, Suresh P.;  Yan, Houmin;  Yan, J. Houzhong;  Zhang, Hanqin
收藏  |  浏览/下载：122/0  |  提交时间：2018/07/30
dynamic programming equation  optimal policy  monotonicity  martingale  algorithm  
Weighted singularly perturbed hybrid stochastic systems 期刊论文
MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2005, 卷号: 62, 期号: 1, 页码: 41-54
作者:  Liu, K;  Filar, JA
收藏  |  浏览/下载：123/0  |  提交时间：2018/07/30
weighted Markov Decision Processes  Hybrid Stochastic System  perturbations  optimal policy  delta-optimal  
Weighted Markov decision processes with perturbation 期刊论文
MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2001, 卷号: 53, 期号: 3, 页码: 465-480
作者:  Liu, K;  Filar, JA
收藏  |  浏览/下载：150/0  |  提交时间：2018/07/30
Markov decision processes  weighted reward  optimal policy  delta-optimal  singular perturbation  general perturbation