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A stochastic control approach to bid-ask price modelling
Dela Vega, Engel John C.; Elliott, Robert J. - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-30
Persistent link: https://www.econbiz.de/10013371064
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Numerical methods for the quadratic hedging problem in Markov models with jumps
De Franco, Carmine; Tankov, Peter; Warin, Xavier - In: The journal of computational finance 19 (2015/2016) 2, pp. 29-67
Persistent link: https://www.econbiz.de/10011442638
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Dual optimization problem on defaultable claims
Goutte, Stéphane; Ngoupeyou, Armand - In: Mathematical economics letters 1 (2013) 2/4, pp. 47-54
Persistent link: https://www.econbiz.de/10010437851
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Portfolio selection in a regime switching market with a bankruptcy state and an uncertain exit-time : multi-period mean-variance formulation
Keykhaei, Reza - In: Operational research : an international journal 20 (2020) 3, pp. 1231-1254
Persistent link: https://www.econbiz.de/10012291150
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Bayesian switching multiple disorder problems
Gapeev, Pavel V. - In: Mathematics of operations research 41 (2016) 3, pp. 1108-1124
Persistent link: https://www.econbiz.de/10011520840
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Dynamic multi-priority, multi-class patient scheduling with stochastic service times
Sauré, Antoine; Begen, Mehmet A.; Patrick, Jonathan - In: European journal of operational research : EJOR 280 (2020) 1, pp. 254-265
Persistent link: https://www.econbiz.de/10012132387
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Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity
Wozabal, David; Rameseder, Gunther - In: European journal of operational research : EJOR 280 (2020) 2, pp. 639-655
Persistent link: https://www.econbiz.de/10012132456
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Modeling time-dependent randomness in stochastic dual dynamic programming
Löhndorf, Nils; Shapiro, Alexander - In: European journal of operational research : EJOR 273 (2019) 2, pp. 650-661
Persistent link: https://www.econbiz.de/10011987574
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Reference policies for non-myopic sequential network design and timing problems
Chow, Joseph Y. J.; Sayarshad, Hamid R. - In: Networks and spatial economics : a journal of … 16 (2016) 4, pp. 1183-1209
Persistent link: https://www.econbiz.de/10011658637
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Importance sampling in stochastic programming : a Markov chain Monte Carlo approach
Parpas, Panos; Ustun, Berk; Webster, Mort; Tran, Quang Kha - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 358-377
Persistent link: https://www.econbiz.de/10011291297