Maximization of Throughput in a Multipurpose Batch Plant under a Fixed Time Horizon:  S-graph Approach

2006 ◽  
Vol 45 (20) ◽  
pp. 6713-6720 ◽  
Author(s):  
Thokozani Majozi ◽  
Ferenc Friedler
Keyword(s):  
Time Horizon ◽  
Fixed Time ◽  
Batch Plant ◽  
Multipurpose Batch Plant

SKOROKHOD EMBEDDINGS IN BOUNDED TIME

2011 ◽  
Vol 11 (02n03) ◽  
pp. 215-226 ◽  
Author(s):  
STEFAN ANKIRCHNER ◽  
PHILIPP STRACK
Keyword(s):  
Brownian Motion ◽  
Time Horizon ◽  
Sufficient Conditions ◽  
Stopping Time ◽  
Fixed Time ◽  
Stopping Times ◽  
Embedding Problem ◽  
Brownian Motion With Drift ◽  
Necessary And Sufficient ◽  
Skorokhod Embedding Problem

This article deals with the Skorokhod embedding problem in bounded time for the Brownian motion with drift Xt = κt + Wt: Given a probability measure μ we aim at finding a stopping time τ such that the law of Xτ is μ, and τ is almost surely smaller than some given fixed time horizon T > 0. We provide necessary and sufficient conditions on the distribution μ for the existence of such bounded stopping times.

scholarly journals IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS

2012 ◽  
Vol 28 (2) ◽  
pp. 249-273 ◽  
Author(s):  
Cecilia Mancini ◽  
Fabio Gobbi
Keyword(s):  
Risk Factors ◽  
Monte Carlo ◽  
Time Horizon ◽  
Limit Theorems ◽  
Estimation Error ◽  
Asymptotic Variance ◽  
Fixed Time ◽  
Finite Sample ◽  
Discrete Observations ◽  
Measures Of Dependence

When the covariance between the risk factors of asset prices is due to both Brownian and jump components, the realized covariation (RC) approaches the sum of the integrated covariation (IC) with the sum of the co-jumps, as the observation frequency increases to infinity, in a finite and fixed time horizon. In this paper the two components are consistently separately estimated within a semimartingale framework with possibly infinite activity jumps. The threshold (or truncated) estimator $I\hat C_n $ is used, which substantially excludes from RC all terms containing jumps. Unlike in Jacod (2007, Universite de Paris-6) and Jacod (2008, Stochastic Processes and Their Applications 118, 517–559), no assumptions on the volatilities’ dynamics are required. In the presence of only finite activity jumps: 1) central limit theorems (CLTs) for $I\hat C_n $ and for further measures of dependence between the two Brownian parts are obtained; the estimation error asymptotic variance is shown to be smaller than for the alternative estimators of IC in the literature; 2) by also selecting the observations as in Hayashi and Yoshida (2005, Bernoulli 11, 359–379), robustness to nonsynchronous data is obtained. The proposed estimators are shown to have good finite sample performances in Monte Carlo simulations even with an observation frequency low enough to make microstructure noises’ impact on data negligible.

SCHEDULING AND DESIGN FOR COST MINIMIZATION OF MULTIPURPOSE BATCH PLANT

2002 ◽  
Vol 35 (1) ◽  
pp. 185-189
Author(s):  
Soon-Ki Heo ◽  
Kyu-Hwang Lee ◽  
In-Beum Lee ◽  
Ho-Kyung Lee
Keyword(s):  
Cost Minimization ◽  
Batch Plant ◽  
Design For Cost ◽  
Multipurpose Batch Plant
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