Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems
Year of publication: |
2013
|
---|---|
Authors: | De Maere d'Aertrycke, Gauthier ; Shapiro, Alexander ; Smeers, Yves |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 77.2013, 3, p. 393-405
|
Subject: | Theorie | Theory | Stochastischer Prozess | Stochastic process |
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