Selected Publications

Book

An Introduction to Stochastic Processes, 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), submitted to Mathematics of Operation ResearchDownload
  • "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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