OPTIMIZATION OF QUEUEING NETWORKS

An Optimal Control
Approach to Optimization of Multiclass Queueing Networks.
Avram, F., Bertsimas, D. and Ricard, M. (1994),
Proceedings of Workshop on Queueing Networks of the
Mathematical Inst., Minneapolis, 1994. Editors: Frank Kelly
and Ruth Williams.

A method for computing
Double Band Policies for Switching between
two Difusions, Avram, F. and Fikri Karaesmen (1996). Probability in Engineering
Sciences, vol 10, pg 569590.

Optimal Control of Fluid Limits of Queueing Networks and
Stochasticity Corrections Avram, F (1997). MATHEMATICS OF STOCHASTIC MANUFACTURING SYSTEMS, Lectures in Applied Mathematics, vol 33,
pg 136. Editors:
Q.Zhang and G.Yin.

Explicit solutions for variational problems in the quadrant
F. Avram, J. Dai and J. Hasenbein. Queueing systems 37, pp 261291(2001).
 F. Avram,
A Large Deviations Approximation
for the Stationary Distribution of Regulated
Skipfree Queueing Networks.
Performance evaluation 51 (2003), pp 171190.

F. Avram (2002). Some calculations and conjectures
On a differential game motivated by the risk sensitive control of stochastic
networks in the large deviations regime

F.Avram and A. GomezCorral (2005).
On the optimal
control of the multiclass M/M/1 queue with holding
and switching costs. Operations
Research Letters 34(3): 339348 (2006).
STATISTICS

An examination of the sign and volatility
switching ARCH models under alternative distributional assumptions.
Avram, F. and Omran, M.F (2000). Presented at the 49th
MidWest Finance Association annual meeting in Chicago, 31 March 2000.

Robustness of the R/S statistic for fractional stable noises.
Avram, F. and Taqqu, M. (2000). Statistical
Inference for Stochastic Processes 3, Issue 1/2, pp. 6983.

F. Avram and M. Taqqu (2005).
Applications of a generalized BrascampLiebBarthe
inequality and a Generalized Szego theorem to
the asymptotic theory
of sums, integrals and quadratic forms. Dependence in Probability and Statistics. Lecture Notes in Statistics, Vol 187, ed Patrice Bertail, Paul Doukhan, Philippe Soulier.
MATHEMATICAL FINANCE AND ACTUARIAL SCIENCE
On the valuation of constant barrier options under spectrally negative
exponential Levy models and Carr's approximation for American puts.
Avram, F, Chan, T. and Usabel, M. (2002).
Stochastic Processes and their applications 101, pp 75107..
Finite time ruin probabilities of processes with phase type jumps.
Avram, F., Usabel, M., Insurance, Mathematics and Economics, { 32}, pp 371377, 2003.
Ruin probabilities for risk
processes with phasetype waiting times. F.Avram and M. Usabel,
Astin Bulletin (2004), 34,2, pp 315332.
The Erlang approximation of finite time ruin probabilities.
S. Asmussen, Avram, F., Usabel, M. (2002), Astin Bulletin,
vol. 32, pp 267281.
The two barriers ruin problem via a Wiener
Hopf decomposition approach.
F.Avram, M. R. Pistorius and M. Usabel.
Annalele Universitatii din Craiova 2003{ }(1).
The Pricing of exponential expiration Russian and lookback options under the spectrally negative
exponential Levy model. Avram, F., A. Kyprianou and M. Pistorius,
Annals of Applied
Probability (2004), 141, pp 215238.
Pricing American and Russian options
under spectrally twosided exponential Levy models.
S. Asmussen, Avram, F., and M. Pistorius, Stoch. Proc. Appl.
(2004), Vol. 109(1), Pages 79111
D.A. Stanford, F.Avram, A.B. Badescu, L. Breuer,
A. da Silva Soares, G. Latouche (2005). Phasetype approximations
to finitetime ruin probabilities in the Sparre Andersen and
stationary renewal risk models. Astin Bul, 35, 131144.
F. Avram, Z. Palmowski and M. Pistorius (2006).
On the optimal dividend policy for a problem for
a spectrally negative L\'{e}vy process. Annals of Applied Probability.
F. Avram, Z. Palmowski and M. Pistorius (2006).
Exact results and precise asymptotics for the exit problem of a degenerate twodimensional risk process from a cone.
Submitted.