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A dynamic program under Lévy p...
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Mathematics of operations research
European journal of operational research : EJOR
941
International journal of theoretical and applied finance
591
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Finance and stochastics
341
Mathematical finance : an international journal of mathematics, statistics and financial theory
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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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22
Closed-form expansion, conditional expectation, and option valuation
Li, Chenxu
- In:
Mathematics of operations research
39
(
2014
)
2
,
pp. 487-516
Persistent link: https://www.econbiz.de/10010384185
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23
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
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24
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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25
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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26
Two-armed restless bandits with imperfect information : stochastic control and indexability
Fryer, Roland G. <Jr.>
;
Harms, Philipp
- In:
Mathematics of operations research
43
(
2018
)
2
,
pp. 399-427
Persistent link: https://www.econbiz.de/10011868611
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27
Empirical dynamic programming
Haskell, William B.
;
Jain, Rahul
;
Kalathil, Dileep
- In:
Mathematics of operations research
41
(
2016
)
2
,
pp. 402-429
Persistent link: https://www.econbiz.de/10011520433
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28
Improved and generalized upper bounds on the complexity of policy iteration
Scherrer, Bruno
- In:
Mathematics of operations research
41
(
2016
)
3
,
pp. 758-774
Persistent link: https://www.econbiz.de/10011520568
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29
Entrepreneurial decisions on effort and project with a nonconcave objective function
Bensoussan, Alain
;
Cadenillas, Abel
;
Koo, Hyeng-keun
- In:
Mathematics of operations research
40
(
2015
)
4
,
pp. 902-914
Persistent link: https://www.econbiz.de/10011408979
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30
Polynomial-time computation of strong and n-present-value optimal policies in Markov decision chains
O'Sullivan, Michael
;
Veinott, Arthur F. <Jr.>
- In:
Mathematics of operations research
42
(
2017
)
3
,
pp. 577-598
Persistent link: https://www.econbiz.de/10011742428
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