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Brownian Models of Performance and Control
16 references·14 citing·32 second hop
Brownian Models of Performance and Control (2013)Brownian Models of Performance and ControlIntroduction to Stochastic Processes (2014)Introduction to Stochastic Pr…An explicit formula for the Skorokhod map on [0,a (2012)An explicit formula for the S…The Economics of Inaction (2008)The Economics of InactionBrownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…On the optimal stopping problem for one-dimensional diffusions (2003)On the optimal stopping probl…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Introduction to Stochastic Integration (1983)Introduction to Stochastic In…Instantaneous Control of Brownian Motion (1983)Instantaneous Control of Brow…Impulse Control of Brownian Motion (1983)Impulse Control of Brownian M…The Value of Waiting to Invest (1982)The Value of Waiting to InvestReflected Brownian Motion on an Orthant (1981)Reflected Brownian Motion on …Some solvable stochastic control problemst† (1980)Some solvable stochastic cont…Assembly-like queues (1973)Assembly-like queuesOptimal Cash Management with Payables Finance (2024)Optimal Cash Management with …Due Diligence (2024)Due DiligenceThe effectiveness of carbon pricing: The role of diversification in a firm’s investment decision (2022)The effectiveness of carbon p…Heavy-Traffic Analysis of Queueing Systems with No Complete Resource Pooling (2022)Heavy-Traffic Analysis of Que…Dynamic Pricing and Matching for Two-Sided Queues (2022)Dynamic Pricing and Matching …An Approximate Analysis of Dynamic Pricing, Outsourcing, and Scheduling Policies for a Multiclass Make-to-Stock Queue in the Heavy Traffic Regime (2022)An Approximate Analysis of Dy…Scheduling and Control of Queueing Networks (2021)Scheduling and Control of Que…Optimal Asset Management Contracts With Hidden Savings (2021)Optimal Asset Management Cont…Processing Networks (2020)Processing NetworksProcessing Networks : Fluid Models and Stability (2020)Processing Networks : Fluid M…Persuading the Principal to Wait (2019)Persuading the Principal to W…Optimal Ordering Policy for Inventory Systems with Quantity-Dependent Setup Costs (2017)Optimal Ordering Policy for I…An Information‐Based Theory of Time‐Varying Liquidity (2015)An Information‐Based Theory o…Resource Sharing Networks: Overview and an Open Problem (2014)Resource Sharing Networks: Ov…Capital Theory and Investment Behavior (1963)Option pricing when underlying stock returns are discontinuous (1976)Irreversibility, Uncertainty, and Cyclical Investment (1980)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Joint Ventures and the Option to Expand and Acquire (1991)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)The Interaction Between Time-Nonseparable Preferences and Time Aggregation (1993)Stochastic integration in UMD Banach spaces (2007)Risk vs. profit potential: A model for corporate strategy (1996)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)Diffusion approximations for open multiclass queueing networks: sufficient conditions involving state space collapse (1998)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Fast simulation of rare events in queueing and reliability models (1995)A Theory of Trickle-Down Growth and Development (1997)A taxonomy of model structures for economic evaluation of health technologies (2006)Optimality results for dividend problems in insurance (2009)Waiting for News in the Market for Lemons (2012)Sorting through Search and Matching Models in Economics (2017)
this work references cited by second hop

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  • 2019

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Persuading the Principal to Wait
100 cited
  • 2015An Information‐Based Theory of Time‐Varying Liquidity62 cited
  • 2021Optimal Asset Management Contracts With Hidden Savings42 cited
  • 2022Dynamic Pricing and Matching for Two-Sided Queues36 cited
  • 2017Optimal Ordering Policy for Inventory Systems with Quantity-Dependent Setup Costs32 cited
  • 2022The effectiveness of carbon pricing: The role of diversification in a firm’s investment decision29 cited
  • 2024Due Diligence28 cited
  • 2020Processing Networks22 cited
  • 2014Resource Sharing Networks: Overview and an Open Problem19 cited
  • 2022Heavy-Traffic Analysis of Queueing Systems with No Complete Resource Pooling14 cited
  • 2024Optimal Cash Management with Payables Finance14 cited
  • 2022An Approximate Analysis of Dynamic Pricing, Outsourcing, and Scheduling Policies for a Multiclass Make-to-Stock Queue in the Heavy Traffic Regime13 cited
  • 2021Scheduling and Control of Queueing Networks11 cited
  • 2020Processing Networks : Fluid Models and Stability10 cited