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Time-inconsistent multistage stochastic programs : martingale bounds

Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163

Persistent link: https://www.econbiz.de/10011434903

Asset-liability optimization for pension fund management

Pflug, Georg; Świȩtanowski, A. - In: Operations research proceedings 1999 : selected papers …, (pp. 124-135). 2000

Persistent link: https://www.econbiz.de/10001481128

Dynamic stochastic optimization : [this volume includes a selection of papers presented at the IFIP/IIASA/GAMM-Workshop on "Dynamic Stochastic Optimization" held at the Internation...

Marti, Kurt (ed.); Ermol'ev, Jurij M. (ed.); … - 2004

Persistent link: https://www.econbiz.de/10001769398

Distributionally robust optimization with multiple time scales : valuation of a thermal power plant

Ackooij, Wim van; Escobar, Debora Daniela; Glanzer, Martin - In: Computational management science 17 (2020) 3, pp. 357-385

Persistent link: https://www.econbiz.de/10012308484

Dynamic Stochastic Optimization

Marti, Kurt (ed.); Ermol'ev, Jurij M. (ed.); … - 2004

I. Dynamic Decision Problems under Uncertainty: Modeling Aspects -- Reflections on Output Analysis for Multistage Stochastic Linear Programs -- Modeling Support for Multistage Recourse Problems -- Optimal Solutions for Undiscounted Variance Penalized Markov Decision Chains -- Approximation and...

Persistent link: https://www.econbiz.de/10014019985