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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

A 2-approximation algorithm for stochastic inventory control models with lost sales

Levi, Retsef; Janakiraman, Ganesh; Nagarajan, Mahesh - In: Mathematics of operations research 33 (2008) 2, pp. 351-374

Persistent link: https://www.econbiz.de/10003732438

Matrix-analytic methods in stochastic models

He, Qi-ming (contributor); Takine, Tetsuya (contributor) - 2008

Persistent link: https://www.econbiz.de/10003649312

Preprocessing techniques and column generation algorithms for stochastically efficient demand

Lejeune, M. A. - In: Journal of the Operational Research Society : OR 59 (2008) 9, pp. 1239-1252

Persistent link: https://www.econbiz.de/10003780200

Efficient pricing algorithms for exotic derivatives

Lord, Roger - 2008

Persistent link: https://www.econbiz.de/10003775897

Regression methods for stochastic control problems and their convergence analysis

Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - 2009

In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with a highdimensional state space and complex dependence structure of the underlying Markov process with...

Persistent link: https://www.econbiz.de/10003835132