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Importance sampling for jump processes and applications to finance
Badouraly Kassim, Laetitia; Lelong, Jérôme; … - In: The journal of computational finance 19 (2015/2016) 2, pp. 109-139
Persistent link: https://www.econbiz.de/10011442676
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Sampling-based approximation schemes for capacitated stochastic inventory control models
Cheung, Wang Chi; Simchi-Levi, David - In: Mathematics of operations research 44 (2019) 2, pp. 668-692
Persistent link: https://www.econbiz.de/10012028641
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Sample average approximation for a two-echelon inventory system with service-level constraints
Tsai, Shing Chih; Ho, I-Ying - In: Journal of the Operational Research Society 70 (2019) 4, pp. 675-688
Persistent link: https://www.econbiz.de/10012212911
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Data-driven satisficing measure and ranking
Huang, Wenjie - In: Journal of the Operational Research Society 71 (2020) 3, pp. 456-474
Persistent link: https://www.econbiz.de/10012216628
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The empirical likelihood approach to quantifying uncertainty in sample average approximation
Lam, Henry; Zhou, Enlu - In: Operations research letters 45 (2017) 4, pp. 301-307
Persistent link: https://www.econbiz.de/10011740327
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Estimation and asymptotics for buffered probability of exceedance
Mafusalov, Alexander; Shapiro, Alexander; Uryasev, Stan - In: European journal of operational research : EJOR 270 (2018) 3, pp. 826-836
Persistent link: https://www.econbiz.de/10011882603
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Utility-based shortfall risk : efficient computations via Monte Carlo
Hu, Zhaolin; Zhang, Dali - In: Naval research logistics : an international journal 65 (2018) 5, pp. 378-392
Persistent link: https://www.econbiz.de/10011969327
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Logarithmic sample bounds for Sample Average Approximation with capacity- or budget-constraints
Bugg, Caleb; Aswani, Anil - In: Operations research letters 49 (2021) 2, pp. 231-238
Persistent link: https://www.econbiz.de/10012506656
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A stochastic approximation approach for managing appointments in the presence of unpunctual patients, multiple servers and no-shows
Pan, Xingwei; Geng, Na; Xie, Xiaolan - In: International journal of production research 59 (2021) 10, pp. 2996-3016
Persistent link: https://www.econbiz.de/10012516530
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The effect of regularization in portfolio selection problems
Pagnoncelli, Bernardo K.; Canto, Felipe del; Cifuentes, … - In: Top : an official journal of the Spanish Society of … 29 (2021) 1, pp. 156-176
Persistent link: https://www.econbiz.de/10012498983