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Optimal stopping under uncertainty in drift and jump intensity
Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209
Persistent link: https://www.econbiz.de/10011956978
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Sensitivity analysis for the stationary distribution of reflected brownian motion in a convex polyhedral cone
Lipshutz, David; Ramanan, Kavita - In: Mathematics of operations research 46 (2021) 2, pp. 524-558
Persistent link: https://www.econbiz.de/10012582181
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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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Revisiting stochastic loss networks : structures and approximations
Jung, Kyomin; Lu, Yingdong; Shah, Devavrat; Sharma, Mayank - In: Mathematics of operations research 44 (2019) 3, pp. 890-918
Persistent link: https://www.econbiz.de/10012105798
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Distributional transforms, probability distortions, and their applications
Liu, Peng; Schied, Alexander; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 4, pp. 1490-1512
Persistent link: https://www.econbiz.de/10012796660
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External risk measures and Basel accords
Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417
Persistent link: https://www.econbiz.de/10009787381
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Optimal stopping under probability distortions
Belomestny, Denis; Krätschmer, Volker - In: Mathematics of operations research 42 (2017) 3, pp. 806-833
Persistent link: https://www.econbiz.de/10011742531
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Risk-averse optimal control in continuous time by nesting risk measures
Pichler, Alois; Schlotter, Ruben - In: Mathematics of operations research 48 (2023) 3, pp. 1657-1678
Persistent link: https://www.econbiz.de/10014329353
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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
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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