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Convexity of chance constraints with independent random variables
Henrion, René; Strugarek, Cyrille - In: Computational optimization and applications : an … 41 (2008) 2, pp. 263-276
Persistent link: https://www.econbiz.de/10003777599
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Heuristic representation optimization for efficient generation of PH-distributed random variates
Horváth, Gábor; Reinecke, Philipp; Telek, Miklós; … - In: Analytical and stochastic modelling techniques, (pp. 643-665). 2016
Persistent link: https://www.econbiz.de/10011484413
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Multi-objective optimization in uncertain random environments
Zhou, Jian; Yang, Fan; Wang, Ke - In: Fuzzy optimization and decision making : a journal of … 13 (2014) 4, pp. 397-413
Persistent link: https://www.econbiz.de/10010439002
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Chance constrained programming with one discrete random variable in each constraint
Cerdá Tena, Emilio; Moreno Lorente, Julio - 2009
Persistent link: https://www.econbiz.de/10011697684
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Uncertain random goal programming
Qin, Zhongfeng - In: Fuzzy optimization and decision making : a journal of … 17 (2018) 4, pp. 375-386
Persistent link: https://www.econbiz.de/10012098284
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Technical note : stochastic optimization with decisions truncated by positively dependent random variables
Chen, Xin; Gao, Xiangyu - In: Operations research 67 (2019) 5, pp. 1321-1327
Persistent link: https://www.econbiz.de/10012107775
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Stochastic Linear Programming : Models, Theory, and Computation
Kall, Peter - 2011 - 2
Persistent link: https://www.econbiz.de/10014275199
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Stochastic linear programming : models, theory, and computation
Kall, Peter; Mayer, János - 2011 - 2. ed.
Persistent link: https://www.econbiz.de/10008738248
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Finite element modeling of exotic options
Topper, Jürgen - 1998 - Version December 28, 1998
The Finite Element Method is a well-studied and well-understood method of solving partial differential equations. It's applicability to financial models formulated as PDEs is demonstrated. It's advantage concerning the computation of accurate "Greeks" is delineated. This is demonstrated with...
Persistent link: https://www.econbiz.de/10011526581