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You searched for +publisher:"University of Texas – Austin" +contributor:("Cudina, Milica"). Showing records 1 – 3 of 3 total matches.

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University of Texas – Austin

1. Sisbot, Emre Arda. Fluid and queueing networks with Gurvich-type routing.

Degree: PhD, Operations research and industrial engineering, 2015, University of Texas – Austin

URL: http://hdl.handle.net/2152/32536 

Queueing networks have applications in a wide range of domains, from call center management to telecommunication networks. Motivated by a healthcare application, in this dissertation, we analyze a class of queueing and fluid networks with an additional routing option that we call Gurvich-type routing. The networks we consider include parallel buffers, each associated with a different class of entity, and Gurvich-type routing allows to control the assignment of an incoming entity to one of the classes. In addition to routing, scheduling of entities is also controlled as the classes of entities compete for service at the same station. A major theme in this work is the investigation of the interplay of this routing option with the scheduling decisions in networks with various topologies. The first part of this work focuses on a queueing network composed of two parallel buffers. We form a Markov decision process representation of this system and prove structural results on the optimal routing and scheduling controls. Via these results, we determine a near-optimal discrete policy by solving the associated fluid model along with perturbation expansions. In the second part, we analyze a single-station fluid network composed of N parallel buffers with an arbitrary N. For this network, along with structural proofs on the optimal scheduling policies, we show that the optimal routing policies are threshold-based. We then develop a numerical procedure to compute the optimal policy for any initial state. The final part of this work extends the analysis of the previous part to tandem fluid networks composed of two stations. For two different models, we provide results on the optimal scheduling and routing policies. Advisors/Committee Members: Hasenbein, John J. (advisor), Bickel, James Eric (committee member), Cudina, Milica (committee member), Djurdjanovic, Dragan (committee member), Khajavirad, Aida (committee member).

Subjects/Keywords: Markov decision processes; Queueing theory; Optimal control; Fluid model; Scheduling; Routing

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APA (6th Edition):

Sisbot, E. A. (2015). Fluid and queueing networks with Gurvich-type routing. (Doctoral Dissertation). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/32536

Chicago Manual of Style (16th Edition):

Sisbot, Emre Arda. “Fluid and queueing networks with Gurvich-type routing.” 2015. Doctoral Dissertation, University of Texas – Austin. Accessed February 28, 2021. http://hdl.handle.net/2152/32536.

MLA Handbook (7th Edition):

Sisbot, Emre Arda. “Fluid and queueing networks with Gurvich-type routing.” 2015. Web. 28 Feb 2021.

Vancouver:

Sisbot EA. Fluid and queueing networks with Gurvich-type routing. [Internet] [Doctoral dissertation]. University of Texas – Austin; 2015. [cited 2021 Feb 28]. Available from: http://hdl.handle.net/2152/32536.

Council of Science Editors:

Sisbot EA. Fluid and queueing networks with Gurvich-type routing. [Doctoral Dissertation]. University of Texas – Austin; 2015. Available from: http://hdl.handle.net/2152/32536

2. Zhao, Yunjie. Utility-based valuation for underwater employee stock options.

Degree: MA, Mathematics, 2011, University of Texas – Austin

URL: http://hdl.handle.net/2152/ETD-UT-2011-12-4728 

In this report, we explore the theory behind utility-based valuation of stock options. In particular, we focus on the underwater employee stock options, which give rise to an incomplete-market setting. We begin with basic concepts and terminology in stock-option pricing. Then, we review the valuation by replication process both in the binomial model and the Black-Scholes model. These two methods apply to valuation in the complete-market setting. Then we introduce the concept of utility function and utility maximization in the context of portfolio allocation. An example is worked out to demonstrate how to solve the optimization problem subject to a portfolio constraint. In the end, we explore indifference pricing, i.e., utility-based valuation of stock options in an incomplete single-period binomial model. Advisors/Committee Members: Ẑitković, Gordan (advisor), Cudina, Milica (committee member).

Subjects/Keywords: Valuation by replication; Utility-based valuation; Indifference pricing; Underwater stock options

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Zhao, Y. (2011). Utility-based valuation for underwater employee stock options. (Masters Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2011-12-4728

Chicago Manual of Style (16th Edition):

Zhao, Yunjie. “Utility-based valuation for underwater employee stock options.” 2011. Masters Thesis, University of Texas – Austin. Accessed February 28, 2021. http://hdl.handle.net/2152/ETD-UT-2011-12-4728.

MLA Handbook (7th Edition):

Zhao, Yunjie. “Utility-based valuation for underwater employee stock options.” 2011. Web. 28 Feb 2021.

Vancouver:

Zhao Y. Utility-based valuation for underwater employee stock options. [Internet] [Masters thesis]. University of Texas – Austin; 2011. [cited 2021 Feb 28]. Available from: http://hdl.handle.net/2152/ETD-UT-2011-12-4728.

Council of Science Editors:

Zhao Y. Utility-based valuation for underwater employee stock options. [Masters Thesis]. University of Texas – Austin; 2011. Available from: http://hdl.handle.net/2152/ETD-UT-2011-12-4728

3. Liu, Chengcheng. Stability and pricing in Naor's model with arrival rate uncertainty.

Degree: PhD, Operations Research and Industrial Engineering, 2019, University of Texas – Austin

URL: http://dx.doi.org/10.26153/tsw/2856 

Naor's observable queueing model describes an M/M/1 queue with strategic customers and a system manager who maximizes the long-run average revenue rate or social benefit rate. Customers have identical service values and waiting time costs, assuming the waiting cost is linear in time. A new customer chooses to either enter the system or balk after observing the queue length. The system manager decides on the admission fee, which is assumed to be a constant. The results of Naor's model are: the optimal policy for customers is a threshold policy, and customers enter if and only if the queue length is no larger than a threshold; the revenue-maximizing threshold is no larger than the socially optimal threshold, or equivalently, a revenue maximizer (RM) charges a fee no less than a social optimizer (SO). This research studies an observable queueing system in which the arrival rate is not known with certainty by either customers or the system manager. The customer population is modeled to be either homogeneous or heterogeneous. We present three different models: static pricing with uncertain arrival rate and heterogeneous customers; state dependent pricing with uncertain arrival rate and homogeneous customers; and state dependent pricing with uncertain arrival rate and heterogeneous customers. We study the system stability, the optimal behavior of customers and the optimal pricing policies of the system manager. Advisors/Committee Members: Hasenbein, John J. (advisor), Bickel, James Eric (committee member), Hanasusanto, Grani A. (committee member), Cudina, Milica (committee member).

Subjects/Keywords: Naor’s model; Parameter uncertainty; Revenue optimization; Heterogeneous customers

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Liu, C. (2019). Stability and pricing in Naor's model with arrival rate uncertainty. (Doctoral Dissertation). University of Texas – Austin. Retrieved from http://dx.doi.org/10.26153/tsw/2856

Chicago Manual of Style (16th Edition):

Liu, Chengcheng. “Stability and pricing in Naor's model with arrival rate uncertainty.” 2019. Doctoral Dissertation, University of Texas – Austin. Accessed February 28, 2021. http://dx.doi.org/10.26153/tsw/2856.

MLA Handbook (7th Edition):

Liu, Chengcheng. “Stability and pricing in Naor's model with arrival rate uncertainty.” 2019. Web. 28 Feb 2021.

Vancouver:

Liu C. Stability and pricing in Naor's model with arrival rate uncertainty. [Internet] [Doctoral dissertation]. University of Texas – Austin; 2019. [cited 2021 Feb 28]. Available from: http://dx.doi.org/10.26153/tsw/2856.

Council of Science Editors:

Liu C. Stability and pricing in Naor's model with arrival rate uncertainty. [Doctoral Dissertation]. University of Texas – Austin; 2019. Available from: http://dx.doi.org/10.26153/tsw/2856

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