The problem of hedging a contingent claim with minimization of quadratic risk is studied. Existence of an optimal strategy for the model with proportional transaction cost and nondelayed observation is shown.
This paper describes an analytical study of open two-node (tandem) network models with blocking and truncation. The study is based on semi-Markov process theory, and network models assume that multiple servers serve each queue. Tasks arrive at the tandem in a Poisson fashion at the rate λ, and the service times at the first and the second node are nonexponentially distributed with means sA and sB , respectively. Both nodes have buffers with finite capacities. In this type of network, if the second...
Simulation completed with perturbation analysis provides a new approach for the optimal control of queuing network type systems. The objective of this paper is to calculate the sensitivity range of finite zero-order perturbation, that is, to determine the maximum and minimum size of perturbation within which zero-order propagation rules can be applied. By the introduction of the concept of virtual queue and first and second level no-input and full-output matrices, an algorithm is provided which...
In this paper, a single server finite buffer Markovian queuing system is analyzed with the additional restriction that customers may balk as well as renege. Reneging considered in literature is usually of position independent type where the reneging rate is constant irrespective of the position of the customer in the system. However there are many real world situations where this assumption does not hold. This paper is an attempt to model balking with position dependent reneging. Explicit closed...
In this paper, a single server finite buffer Markovian queuing system is analyzed with the additional restriction that customers may balk as well as renege. Reneging considered in literature is usually of position independent type where the reneging rate is constant irrespective of the position of the customer in the system. However there are many real world situations where this assumption does not hold. This paper is an attempt to model balking with position dependent reneging. Explicit closed...