This thesis aims to contribute to the systematic measurement of risk in decision problems under uncertainty. In particular, we intend to support the choice of a risk measure in stochastic linear programming with mixed-integer recourse. We restrict our discussion to deviation measures which...

On the basis of integral representations we propose fast numerical methods to solve the Cauchy problem for the stochastic wave equation without boundaries and with the Dirichlet boundary conditions. The algorithms are exact in a probabilistic sense.

We consider the optimal strategy of R&D expenditure adopted by a firm that engages in R&D to develop an innovative product to be launched in the market. The firm faces with technological uncertainty associated with the success of the R&D effort and market uncertainty of the stochastic revenue...