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This paper develops a general stochastic model of a frictionless security market with continuous trading. The vector price process is given by a semimartingale of a certain clr;zss, and the general stochastic integral is used to represent capital gains. Within the framework of this model, we discuss the modern theory of contingent claim valuation, including… (More)

- Jim Dai, J. M. Harrison
- 1999

Abstract This paper is concerned with a class of multidimensional diffusion processes, variously known as reflected Brownian motions, regulated Brownian motions, or just RBM’s, that arise as approximate models of queueing networks. We develop an algorithm for numerical analysis of a semimartingale RBM with state space S Rd (the non-negative orthant of… (More)

A pappr by the same authors in the 1981 volume of Stochastic Processes artd Their Applications presented a general model, based on martingales and stochastic integrals, for the economic problem of investing in a portfolio of securities. In particular, and using the terminology developed therein, that paper stated that every integrable contingent claim is… (More)

We consider a very general type of d-station open queueing network, with multiple customer classes and a more or less arbitrary service discipline at each station, but restricted by the requirement that customers always ow from lowered numbered stations to higher numbered ones. To approximate the behavior of such a queueing network under heavy traac… (More)

- J. M. Harrison, Ryan P Irving
- The Journal of comparative neurology
- 1966

- J. M. Harrison, Ryan P Irving
- The Journal of comparative neurology
- 1966

We consider a dynamic control problem associated with a generalized Brownian network, the objective being to minimize expected discounted cost over an infinite planning horizon. In this Brownian control problem (BCP), both the system manager’s control and the associated cumulative cost process may be locally of unbounded variation. Due to this aspect of the… (More)

- J. M. Harrison, Martin L. Feldman
- Contributions to sensory physiology
- 1970

- J. M. Harrison, Rachel E Irving
- The Journal of comparative neurology
- 1965

- J. M. Harrison
- The Journal of experimental biology
- 1987

The individual roles of honeybee workers and drones in heat regulation were investigated using single combs of bees and brood (about 1,000 individuals) placed in boxes at 15 degrees C. After 1 h and before cluster formation, I measured the elevation of bee thoracic surface temperature (Tths) above local ambient temperature (Ta). Bees were then left… (More)