Dupire recently developed a functional Ito formula, which has changed the landscape of the study of stochastic functional equations and encouraged a reconsideration of many problems and applications. Delays are ubiquitous, pervasive, and entrenched in everyday life. Based on the new development, this work examines functional diffusions with two-...
Creator:
Wu, Fuke (Huazhong University of Science and Technology)
Created:
2018-05-17
Contributed By:
University of Minnesota, Institute for Mathematics and its Applications.
This work considers an optimal inventory control problem using a long-term average criterion. In absence of ordering, the inventory process is modeled by a one-dimensional diffusion on some interval of $(-\infty, \infty)$ with general drift and diffusion coefficients and boundary points that are consistent with the notion that demands tend to re...
Creator:
Zhu, Chao (University of Wisconsin, Milwaukee)
Created:
2018-05-07
Contributed By:
University of Minnesota, Institute for Mathematics and its Applications.
The method of chaining is often used to obtain probability and moment bounds for stochastic processes. We explore the application of the chaining bounds in non-Markovian many-server queues. In these models, we study two-parameter stochastic processes that can be used to describe the service dynamics, in particular, X(t,y) representing the number...
Creator:
Pang, Guodong (The Pennsylvania State University)
Created:
2018-05-17
Contributed By:
University of Minnesota, Institute for Mathematics and its Applications.
