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Geometrically convergent simulation of the extrema of Lévy processes
González Cázares, Jorge Ignacio; Mijatović, Aleksandar; … - In: Mathematics of operations research 47 (2022) 2, pp. 1141-1168
Persistent link: https://www.econbiz.de/10013365090
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An analysis of monotone follower problems for diffusion processes
Bayraktar, Erhan; Egami, Masahiko - In: Mathematics of operations research 33 (2008) 2, pp. 336-350
Persistent link: https://www.econbiz.de/10003732436
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Uniformly efficient importance sampling for the tail distribution of sums of random variables
Glasserman, Paul; Juneja, Sandeep - In: Mathematics of operations research 33 (2008) 1, pp. 36-50
Persistent link: https://www.econbiz.de/10003687581
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A gradient formula for linear chance constraints under Gaussian distribution
Henrion, René; Möller, Andris - In: Mathematics of operations research 37 (2012) 3, pp. 475-488
Persistent link: https://www.econbiz.de/10009612097
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On the tail probabilities of aggregated lognormal random fields with small noise
Liu, Xiaoou; Liu, Jingchen; Xu, Gongjun - In: Mathematics of operations research 41 (2016) 1, pp. 236-246
Persistent link: https://www.econbiz.de/10011448360
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Distributionally robust stochastic optimization with Wasserstein distance
Gao, Rui; Kleywegt, Anton - In: Mathematics of operations research 48 (2023) 2, pp. 603-655
Persistent link: https://www.econbiz.de/10014314839
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Stochastic optimization with decision-dependent distributions
Drusvyatskiy, Dmitriy; Xiao, Lin - In: Mathematics of operations research 48 (2023) 2, pp. 954-998
Persistent link: https://www.econbiz.de/10014314968
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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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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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Bandit problems with Lévy processes
Cohen, Asaf; Solan, Eilon - In: Mathematics of operations research 38 (2013) 1, pp. 92-107
Persistent link: https://www.econbiz.de/10009727696