期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2021; 94 (1)
Pairs trading is a typical example of a convergence trading strategy. Investors buy relatively under-priced assets simultaneously, and sell relatively......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2021; 93 (3)
In this paper, we propose three new axiomatizations of the Owen value, similar as the axiomatizations of the Shapley value of Chun (Int J Game Theory ......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, ; ()
The continuous-time Markov chain (CTMC) approximation method is a powerful tool that has recently been utilized in the valuation of derivative securit......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2020; 92 (2)
We present a new smoothing Newton method for the symmetric cone complementarity problem with the Cartesian P-0-property. The new method is based on a ......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2020; 91 (3)
This paper considers an inexact primal-dual algorithm for semi-infinite programming (SIP) for which it provides general error bounds. We create a new ......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2020; 91 (1)
In this paper, we obtain the Painleve-Kuratowski upper convergence and the Painleve-Kuratowski lower convergence of the approximate solution sets for ......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2019; 89 (1)
Consider n firms (agents) located at a river, indexed by 1,,n from upstream to downstream. The pollution generated by these firms induce cleaning cost......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2019; 89 (2)
In this paper, we consider the optimal impulse control problem of a currency with exchange rate dynamics whose state follows a geometric Levy process.......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2019; 89 (3)
Sparse optimization problems have gained much attention since 2004. Many approaches have been developed, where nonconvex relaxation methods have been ......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2019; 90 (1)
In this paper, we consider the problem of optimal investment-reinsurance with two dependent classes of insurance risks in a regime-switching financial......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2019; 90 (3)
We study a multiclass many-server queueing system with renewal arrivals and generally distributed service and patience times under a nonpreemptive all......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 0; ()
In this paper, a new class of unified penalty functions are derived for the semi-infinite optimization problems, which include many penalty functions ......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 0; ()
We study a multiclass many-server queueing system with renewal arrivals and generally distributed service and patience times under a nonpreemptive all......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2018; 87 (1)
This paper is concerned with an M/PH/K queue with customer abandonment, constant impatient time, and many servers. By combining the method developed i......
期刊： MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2018; 87 (1)
This paper deals with an M / G / 1 queue with vacations and multiple phases of operation. If there are no customers in the system at the instant of a ......
