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Convex duality in stochastic optimization and mathematical finance
Pennanen, Teemu - In: Mathematics of operations research 36 (2011) 2, pp. 340-362
Persistent link: https://www.econbiz.de/10009162067
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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
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Optimal boundary surface for irreversible investment with stochastic costs
De Angelis, Tiziano; Federico, Salvatore; Ferrari, Giorgio - In: Mathematics of operations research 42 (2017) 4, pp. 1135-1161
Persistent link: https://www.econbiz.de/10011773311
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On singular control for Lévy processes
Noba, Kei; Yamazaki, Kazutoshi - In: Mathematics of operations research 48 (2023) 3, pp. 1213-1234
Persistent link: https://www.econbiz.de/10014329210
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The circlet inequalities : a new, circulant-based, facet-defining inequality for the TSP
Gutekunst, Samuel C.; Williamson, David P. - In: Mathematics of operations research 48 (2023) 1, pp. 393-418
Persistent link: https://www.econbiz.de/10014312556
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On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko; Yamada, Toshihiro - In: Mathematics of operations research 40 (2015) 3, pp. 513-541
Persistent link: https://www.econbiz.de/10011338705
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Penalized sample average approximation methods for stochastic mathematical programs with complementarity constraints
Liu, Yongchao; Xu, Huifu; Ye, Jane J. - In: Mathematics of operations research 36 (2011) 4, pp. 670-694
Persistent link: https://www.econbiz.de/10009405893
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The price of inexactness : convergence properties of relaxation methods for mathematical programs with complementarity constraints revisited
Kanzow, Christian; Schwartz, Alexandra - In: Mathematics of operations research 40 (2015) 2, pp. 253-275
Persistent link: https://www.econbiz.de/10011282714
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Löwner's operator and spectral functions in Euclidean Jordan algebras
Sun, Defeng; Sun, Jie - In: Mathematics of operations research 33 (2008) 2, pp. 421-445
Persistent link: https://www.econbiz.de/10003732452
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Quantitative convergence analysis of iterated expansive, set-valued mappings
Luke, D. Russell; Thao, Nguyen H.; Tam, Matthew K. - In: Mathematics of operations research 43 (2018) 4, pp. 1143-1176
Persistent link: https://www.econbiz.de/10011956917