Narrow search
Showing 1 - 10 of 161
Cover Image
E-strong simulation of fractional brownian motion and related stochastic differential equations
Chen, Yi; Dong, Jing; Ni, Hao - In: Mathematics of operations research 46 (2021) 2, pp. 559-594
Persistent link: https://www.econbiz.de/10012582184
Cover Image
An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection
Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220
Persistent link: https://www.econbiz.de/10010462146
Cover Image
Continuous-time portfolio choice under monotone mean-variance preferences : stochastic factor case
Trybuła, Jakub; Zawisza, Dariusz - In: Mathematics of operations research 44 (2019) 3, pp. 966-987
Persistent link: https://www.econbiz.de/10012105828
Cover Image
A stochastic portfolio optimization model with bounded memory
Chang, Mou-hsiung; Pang, Tao; Yang, Yipeng - In: Mathematics of operations research 36 (2011) 4, pp. 604-619
Persistent link: https://www.econbiz.de/10009405906
Cover Image
Epi-regularization of risk measures
Kouri, Drew P.; Surowiec, Thomas M. - In: Mathematics of operations research 45 (2020) 2, pp. 774-795
Persistent link: https://www.econbiz.de/10012242555
Cover Image
Solving nonsmooth and nonconvex compound stochastic programs with applications to risk measure minimization
Liu, Junyi; Cui, Ying; Pang, Jong-shi - In: Mathematics of operations research 47 (2022) 4, pp. 3051-3083
Persistent link: https://www.econbiz.de/10014311398
Cover Image
Power forward performance in semimartingale markets with stochastic integrated factors
Bo, Lijun; Capponi, Agostino; Zhou, Chao - In: Mathematics of operations research 48 (2023) 1, pp. 288-312
Persistent link: https://www.econbiz.de/10014312552
Cover Image
A generalization of the Borkar-Meyn theorem for stochastic recursive inclusions
Ramaswamy, Arunselvan; Bhatnagar, Shalabh - In: Mathematics of operations research 42 (2017) 3, pp. 648-661
Persistent link: https://www.econbiz.de/10011742439
Cover Image
Diffusion of new products with heterogeneous consumers
Fibich, Gadi; Golan, Amit - In: Mathematics of operations research 48 (2023) 1, pp. 257-287
Persistent link: https://www.econbiz.de/10014312551
Cover Image
Stochastic depletion problems : effective myopic policies for a class of dynamic optimization problems
Chan, Carri W.; Farias, Vivek F. - In: Mathematics of operations research 34 (2009) 2, pp. 333-350
Persistent link: https://www.econbiz.de/10003870284