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The nonlinear complementarity model of industrial symbiosis network equilibrium problem

Shiqin Xu, Guoshan Liu, Wendai Lv, Yingmei Liu (2014)

RAIRO - Operations Research - Recherche Opérationnelle

In this paper, we propose an industrial symbiosis network equilibrium model by using nonlinear complementarity theory. The industrial symbiosis network consists of industrial producers, industrial consumers, industrial decomposers and demand markets, which imitates natural ecosystem by means of exchanging by-products and recycling useful materials exacted from wastes. The industrial producers and industrial consumers are assumed to be concerned with maximization of economic profits as well as minimization...

The performance profile: A multi-criteria performance evaluation method for test-based problems

Wojciech Jaśkowski, Paweł Liskowski, Marcin Szubert, Krzysztof Krawiec (2016)

International Journal of Applied Mathematics and Computer Science

In test-based problems, solutions produced by search algorithms are typically assessed using average outcomes of interactions with multiple tests. This aggregation leads to information loss, which can render different solutions apparently indifferent and hinder comparison of search algorithms. In this paper we introduce the performance profile, a generic, domain-independent, multi-criteria performance evaluation method that mitigates this problem by characterizing the performance of a solution by...

The pricing of credit risky securities under stochastic interest rate model with default correlation

Anjiao Wang, Zhong Xing Ye (2013)

Applications of Mathematics

In this paper, we study the pricing of credit risky securities under a three-firms contagion model. The interacting default intensities not only depend on the defaults of other firms in the system, but also depend on the default-free interest rate which follows jump diffusion stochastic differential equation, which extends the previous three-firms models (see R. A. Jarrow and F. Yu (2001), S. Y. Leung and Y. K. Kwok (2005), A. Wang and Z. Ye (2011)). By using the method of change of measure and...

The problem of determining estimators for different structural parameters in the case of credibility results for weighted contracts

Virginia Atanasiu (2007)

Mathematica Bohemica

This paper presents and analyzes the estimators of the structural parameters, in the Bühlmann-Straub model, involving complicated mathematical properties of conditional expectations and of conditional covariances. So to enable to use the better linear credibility results obtained in this model, we will provide useful estimators for the structure parameters. From the practical point of view it is stated the attractive property of unbiasedness for these estimators.

The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black-Scholes model

Yuliya Mishura (2015)

Banach Center Publications

We take the martingale central limit theorem that was established, together with the rate of convergence, by Liptser and Shiryaev, and adapt it to the multiplicative scheme of financial markets with discrete time that converge to the standard Black-Scholes model. The rate of convergence of put and call option prices is shown to be bounded by n - 1 / 8 . To improve the rate of convergence, we suppose that the increments are independent and identically distributed (but without binomial or similar restrictions...

The single (and multi) item profit maximizing capacitated lot–size (PCLSP) problem with fixed prices and no set–up

Kjetil K. Haugen, Asmund Olstad, Krystsina Bakhrankova, Erik Van Eikenhorst (2010)

Kybernetika

This paper proposes a specialized LP-algorithm for a sub problem arising in simple Profit maximising Lot-sizing. The setting involves a single (and multi) item production system with negligible set-up costs/times and limited production capacity. The producer faces a monopolistic market with given time-varying linear demand curves.

Currently displaying 61 – 80 of 130