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Localization and exact simulation of Brownian motion-driven stochastic differential equations
Chen, Nan; Huang, Zhengyu - In: Mathematics of operations research 38 (2013) 3, pp. 591-616
Persistent link: https://www.econbiz.de/10009787357
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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
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Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
Kartala, Xanthi-Isidora; Englezos, Nikolaos; … - In: Mathematics of operations research 45 (2020) 2, pp. 403-433
Persistent link: https://www.econbiz.de/10012242504
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The limit of stationary distributions of many-server queues in the Halfin-Whitt regime
Aghajani, Reza; Ramanan, Kavita - In: Mathematics of operations research 45 (2020) 3, pp. 1016-1055
Persistent link: https://www.econbiz.de/10012293367
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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
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Quickest detection problems for Ornstein-Uhlenbeck processes
Glover, Kristoffer; Peskir, Goran - In: Mathematics of operations research 49 (2024) 2, pp. 1045-1064
Persistent link: https://www.econbiz.de/10014564929
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Infinite horizon stochastic impulse control with delay and random coefficients
Djehiche, Boualem; Hamadène, Said; Hdhiri, Ibtissem; … - In: Mathematics of operations research 47 (2022) 1, pp. 665-689
Persistent link: https://www.econbiz.de/10013364931
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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
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Optimization under rational expectations : a framework of fully coupled forward-backward stochastic linear quadratic systems
Hu, Mingshang; Ji, Shaolin; Xue, Xiaole - In: Mathematics of operations research 48 (2023) 3, pp. 1767-1790
Persistent link: https://www.econbiz.de/10014329362