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Computation of business-cycle models with the Generalized Schur Method

Heer, Burkhard; Maußner, Alfred - 2009

We describe an algorithm that is able to compute the solution of a singular linear difference system under rational … expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example. …

Persistent link: https://www.econbiz.de/10010275804

Machine learning for continuous-time finance

Duarte, Victor; Duarte, Diogo; Silva, Dejanir H. - In: The review of financial studies 37 (2024) 11, pp. 3217-3271

Persistent link: https://www.econbiz.de/10015359477

Technical note: on hiring secretaries with stochastic departures

Kesselheim, Thomas; Psomas, Alexandros; Vardi, Shai - In: Operations research 72 (2024) 5, pp. 2076-2081

Persistent link: https://www.econbiz.de/10015361767

Information relaxation and a duality-driven algorithm for stochastic dynamic programs

Chen, Nan; Ma, Xiang; Liu, Yanchu; Yu, Wei - In: Operations research 72 (2024) 6, pp. 2302-2320

Persistent link: https://www.econbiz.de/10015371401

Outcome-driven dynamic refugee assignment with allocation balancing

Bansak, Kirk; Paulson, Elisabeth - In: Operations research 72 (2024) 6, pp. 2375-2390

Persistent link: https://www.econbiz.de/10015371418

Adaptive importance sampling for efficient stochastic root finding and quantile estimation

He, Shengyi; Jiang, Guangxin; Lam, Henry; Fu, Michael - In: Operations research 72 (2024) 6, pp. 2612-2630

Persistent link: https://www.econbiz.de/10015371528

A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependenceh

Mai, Jan-Frederik; Blagoeva, Aleksandra; Scherer, Matthias - In: Frontiers of mathematical finance : FMF 2 (2023) 4, pp. 522-553

Persistent link: https://www.econbiz.de/10015374119

Fixed-point iterative algorithm for SVI model

Yang, Shuzhen; Zhang, Wenqing - In: Finance research letters 80 (2025), pp. 1-9

Persistent link: https://www.econbiz.de/10015422848

A retrospective approximation approach for smooth stochastic optimization

Newton, David; Bollapragada, Raghu; Pasupathy, Raghu; … - In: Mathematics of operations research 50 (2025) 3, pp. 2301-2332

Persistent link: https://www.econbiz.de/10015444756

Langevin dynamics based algorithm e-THεO POULA for stochastic optimization problems with discontinuous stochastic gradient

Lim, Dong-Young; Neufeld, Ariel; Sabanis, Sotirios; … - In: Mathematics of operations research 50 (2025) 3, pp. 2333-2374

Persistent link: https://www.econbiz.de/10015444758