Selected
Publications
Books
An Introduction
to Probability:
with
MATHEMATICA(R),
May 2022, World
Scientific,
Errata of the above book
An
Introduction to
Stochastic
Processes,
Dover, December,
2019.
(Originally
published by
Duxbury Press,
1996, also
published by China
Machine Press in
2003)
Journal Articles
and Working Papers
Recent Work
- "Pricing
Spread Options
by Generalized
Bivariate
Edgeworth
Expansion,"
(coauthored with
Weiwei
Xie), International
Journal of
Financial
Engineering,
Vol. 4, No. 2,
2017. Download
- "Markov
Additive
Processes for
Degradation
with Jump
under Dynamic
Environments,"
(coauthored
with Yin Shu,
Qianmei
Feng, David W.
Coit, and Hao
Liu), Naval
Research
Logistics,
Vol. 68,
909-919,
February
2021 Download
- "Levy
Driven
Non-Gaussian
Ornstein-Uhlenbeck
Processes for
Degradation-Based
Reliability,"
(coauthored with
Yin Shu, Qianmei
Feng, and Hao
Liu). IIE
Transactions,
Vol. 48, No.11,
993-1003,
2016 Download
- A Finite
Element Method
for pricing
Swing Options
under Stochastic
Volatility,"
(coauthored with
Muhu Wan), Journal
of Accounting
and Finance,
Vol.18, No. 3,
26-42,
2018. Download
Finance
- "Pricing NYMEX
Henry Hub Gas
Futures
Contracts by the
Heath-Jarrow-Morton
Multifactor
Approach: an
Empirical
Investigation,"
(coauthored with
Sean Yang),
Working Paper,
August, 2002.
- "Empirical
Dynamic
Stochastic
Models for Firm
Dividends,"
(coauthored with
Praveen Kumar)
Advances in
Financial
Planning and
Forecasting,
Vol. 9,
pp.161-192,
2000.
Stochastic
Processes
- "On Renewal
Processes
Relating to
Counter Models:
the Case of
Phase-Type
Interarrival
Times,"
(coauthored with
Marion Smith),
Journal of
Applied
Probability,
Vol. 30, No.1,
pp.175-183,
1993.
- "On Excess,
Current and
Total Life
Distributions of
Phase-Type
Renewal
Processes,"
(coauthored with
Marion Spokony
Smith), Naval
Research
Logistics, Vol.
39, No. 6, pp.
789-799, 1992.
- "A Note on
the First Two
Moments of Times
in Transient
States in a
Semi-Markov
Process,"
Journal of
Applied
Probability,
Vol. 11, No. 1,
pp.193-198,
1974.
Computational
Probability
- "A Comparison
of Alternative
Approaches for
Numerical
Solutions of
GI/PH/1 Queues,"
INFORMS Journal
on Computing,
Vol. 8, pp.
74-85, 1996.
- "Computational
Approximations
of Renewal
Process Relating
to a Warranty:
the Case of
Phase-Type
Lifetimes,"
(coauthored with
Marion Spokony
Smith) European
Journal of
Operational
Research, Vol.
90, pp. 156-170,
1996.
- "Using State
Reduction for
Computing Steady
State Vector of
Queues in Markov
Chains of M/G/1
Types," Queueing
Systems, Vol.
10, pp.
89-104,1992.
- "Computing the
R Matrices in
Matrix-Geometric
Solutions for
QBD Queues: A
Phase
Substitution
Approach,"
(coauthored with
Chiunsin Lin),
Stochastic
Models, Vol. 7,
No. 4, pp.
231-240, 1991.
- "Analysis of
an M/M/N Queue
with Servers'
Vacations,"
(coauthored with
Kumar S.
Narayanan),
European Journal
of Operational
Research, Vol.
54, pp.256-266,
1991.
- "Using State
Reduction for
Computing Steady
State
Probabilities of
Queues of
GI/PH/1 Types,"
ORSA Journal on
Computing, Vol.
3, No. 3, pp.
231-240, 1991.
- "Computing
Steady State
Probabilities of
a Nonpreemptive
Priority
Multiserver
Queue,"
(coauthored with
Kumar S.
Narayanan), ORSA
Journal on
Computing, Vol.
2, No. 3, pp.
211-218, 1990.
- "The M/M/1
Queue with
Randomly Varying
Arrival and
Service Rates: A
Phase
Substitution
Solution,"
(coauthored with
Chiunsin Lin)
Management
Science, Vol.
35, No. 5, pp.
561-570, 1989.
- "Computing the
Phase-Type
Renewal and
Related
Functions,"
Technometrics,
Vol. 30, No. 1,
pp. 87-93, 1988.
Modeling
of Stochastic
Systems
- "Analysis of
Non-Preemptive
Priority Queues
with Multiple
Servers and Two
Priority
Classes,"
(coauthored with
Sandra Wilson)
European Journal
of Operational
Research, Vol.
118, pp.
181-193, 1999.
- "Discounted
and Per Unit
Costs of Product
Warranty: the
Case of
Phasetype
Lifetimes,"
(coauthored with
Marion Spokony
Smith)
Management
Science, Vol.
39, pp.
1246-1254, 1993.
- "A
Matrix-Geometric
Solution of a
Queueing Problem
in Which
Customers
Require a Random
Number of
Servers,"
(coauthored with
Prawit
Ittimakin)
Operations
Research, Vol.
39, No. 4, pp.
633-638, 1991.
- "Modeling a
Multiprocessor
System with
Preemptive
Priorities,"
(coauthored with
Kumar S.
Narayanan),
Management
Science, Vol.
37, No. 2, pp.
185-197, 1991.
- "A
Matrix-Geometric
Solution of the
Jockeying
Problem,"
(coauthored with
Chiunsin Lin)
European Journal
of Operational
Research, Vol.
44, No. 1,
pp.67-74, 1990.
- "Modeling
Time-Dependent
Arrivals to
Service Systems:
the Case of
Using a
Piecewise-Polynomial
Rate Function in
Nonhomogeneous
Poisson
Process,"
(coauthored with
Sheng-Lin
Chang),
Management
Science, Vol.
34, No. 11,
pp.1367-1379,
1988.
Dynamic
Optimization
- "On Dynamic
Programming
Methods for
Assembly Line
Balancing,"
(coau- thored
with Maurice
Queyranne)
Operations
Research, Vol.
30, No. 2, pp.
375-390, 1982.
- "A Preference
Order Dynamic
Program for a
Stochastic
Traveling
Salesman
Problem,"
Operations
Research, Vol.
26, No. 6, pp.
1033-1045, 1978.
- "Comments on
'Shortest Route
Models for
Allocating of
Inspection
Effort on a
Production Line'
by Leon S.
White,"
Management
Science, Vol.
22, No. 10, p.
1169, 1976.
- "A Preference
Order Dynamic
Program for
Stochastic
Assembly Line
Balancing,"
Management
Science, Vol.
22, No. 10, pp.
1097-1104, 1976.
- "On
Incremental
Analysis in
Resource
Allocation,"
Operational
Research
Quarterly, Vol.
27, No3ii, pp.
759-763, 1976.
- "A
Multi-Product
Dynamic Lot Size
Model with
Individual and
Joint Set-up
Costs,"
Operations
Research, Vol.
27, No. 2, pp.
279-289, 1979.
Stochastic
Linear
Programming
- "Aggregation
in a Two-Stage
Stochastic
Program for
Manpower
Planning in the
Service Sector,"
(coauthored with
Maurice
Queyanne) in
TIMS Studies in
Management
Science, Vol.
22, pp. 205-225,
1986.
Operations
Research in
Health Care
- "Budgeting
Costs of Nursing
in a Hospital,"
(coauthored with
Maurice
Queyranne)
Management
Science, Vol.
31, No. 5" pp.
608-621, 1985.
- "Bed
Allocation in a
Public Health
Care Delivery
System,"
(coauthored with
Grace Tung)
Management
Science, Vol.
27, No. 5, pp.
507-520, 1981.
- "Aggregate
Nursing
Requirement
Planning in a
Public Health
Care Delivery
System,"
(coauthored with
Grace Tung)
Socio-Economic
Planning
Sciences, Vol.
15, No. 3, pp.
119-127, 1981.
- "Forecasting
Demands for In
patient Services
in a Large
Public Health
Care Delivery
System,"
(coauthored with
Grace Tung)
Socio-Economic
Planning
Sciences, Vol.
14, pp. 97-106,
1980.
- "Study of
Patient
Admission
Policies for
Specialized Care
Facilities,"
IEEE
Transactions on
Systems, Man and
Cybernetics,
Vol. SMC-4, No.
6, pp. 505-512,
1974.
- "Modeling the
Movement of
Coronary
Patients within
a Hospital by
Semi-Markov
Processes,"
Operations
Research, Vol.
22, No. 4, pp.
683-699, 1974.
(The paper was
selected by the
Awards Committee
of the Health
Applications
Section of the
Operations
Research Society
of America as
the most
outstanding
paper in health
operations
research
published in the
American
literature in
1974.)
- "A
Semi-Markovian
Population Model
with
Applications to
Hospital
Planning," IEEE
Transactions on
Systems, Man and
Cybernetics,
Vol. SMC-3,
No.4, pp.
327-336, 1973.
- "Incorporating
Exogenous
Factors in
Adaptive
Forecasting of
Hospital
Census,"
(coauthored with
Frank Pokladnik)
Management
Science, Vol.
24, No. 16, pp.
1677-1686, 1978.
- "A Semi-Markov
Model for
Predicting the
Recovery
Progress of
Coronary
Patients,"
Health Service
Research, Vol.
7, No. 3, pp.
191-208, 1972.
Monte
Carlo Simulation
- "Simulating a
Computer System
for Processing
Electrocardiograms,"
(coauthored with
Michael Brown)
IEEE
Transactions on
Systems, Man,
and Cybernetics,
Vol. SMC-10, No.
6, pp. 297-303,
1980.
- " A Procedure
for Generating
Time Dependent
Arrivals for
Queueing
Simulation,"
(coauthored with
George S.
Fishman) Naval
Research
Logistics
Quarterly, Vol.
24, No. 4, pp.
661-666, 1977.
Production
and Operations
Management
- "A Multiple
Objective
Decision
Theoretic
Approach to
One-Machine
Scheduling
Problems,"
Computers and
Operations
Research, Vol.
7, No. 4, pp.
251-259, 1980.
- "Computational
Experience with
a Stochastic
Assembly Line
Balancing
Algorithm,"
Computers and
Operations
Research, Vol.
6, pp. 79-86,
1979.
- "A Discrete
Time Inventory
Model with
Arbitrary
Interval and
Quantity
Distribution of
Demand,"
Operations
Research, Vol.
23, No. 6, pp.
1131-1142, 1975.
- "Optimal
Replacement
Rules when
Changes of State
are
Semi-Markovian,"
Operations
Research, Vol.
21, No. 6, pp.
1231-1249, 1973.
(Doctoral
dissertation,
Stanford, 1971).
- "Economic
Screening of a
Continuously
Manufactured
Product,"
Technometrics,
Vol. 14, No. 3,
pp/ 653-661,
1972.
Statistics
- "A Simple
Procedure for
Computing
Performance
Characteristics
of Truncated
Sequential Tests
with Exponential
Lifetimes,"
(coauthored with
Peichuen Kao and
Jack Mogg)
Technometrics,
Vol. 21, No. 2,
pp. 229-232,
1979.
- "A
Non-Parametric
Approach to the
2? Factorial
Design,"
Technometrics,
Vol. 11, No. 1,
pp. 193-196,
1969.
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