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type_genre:"Article in journal"
~subject:"Stochastic process"
~isPartOf:"Mathematical methods of operations research"
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Deutschland
Stochastic process
Theorie
524
Theory
524
Mathematical programming
185
Mathematische Optimierung
185
Portfolio selection
65
Portfolio-Management
65
Markov chain
60
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60
Game theory
49
Spieltheorie
49
Stochastischer Prozess
48
Cooperative game
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33
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Chen, Zhiping
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Perninge, Magnus
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Özekici, S.
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Mathematical methods of operations research
European journal of operational research : EJOR
437
Insurance / Mathematics & economics
154
Computers & operations research : and their applications to problems of world concern ; an international journal
145
Finance and stochastics
130
International journal of production research
125
International journal of theoretical and applied finance
116
Operations research
114
Journal of econometrics
111
Operations research letters
102
Mathematical finance : an international journal of mathematics, statistics and financial theory
81
Journal of economic dynamics & control
80
Mathematics of operations research
79
International journal of production economics
76
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
65
Economics letters
64
INFORMS journal on computing : JOC
62
Risks : open access journal
62
Econometric reviews
59
Economic modelling
56
Journal of economic theory
55
Quantitative finance
52
Transportation research / E : an international journal
52
Computational Management Science : CMS
51
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
51
Jahrbücher für Nationalökonomie und Statistik
46
Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
45
Computational economics
44
Econometric theory
44
Energy economics
44
Applied economics
41
Management science : journal of the Institute for Operations Research and the Management Sciences
41
Journal of business economics : JBE
39
Annals of operations research
37
IMA journal of management mathematics
37
Journal of international money and finance
36
Omega : the international journal of management science
36
Scandinavian actuarial journal
36
Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik
35
Annals of finance
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ECONIS (ZBW)
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1
Algorithms for non-linear and stochastic resource constrained shortest path
Parmentier, Axel
- In:
Mathematical methods of operations research
89
(
2019
)
2
,
pp. 281-317
Persistent link: https://www.econbiz.de/10012010371
Saved in:
2
Management of a hydropower system via convex duality
Dahl, Kristina Rognlien
- In:
Mathematical methods of operations research
89
(
2019
)
1
,
pp. 43-71
Persistent link: https://www.econbiz.de/10011991715
Saved in:
3
Reduction of nonanticipativity constraints in multistage stochastic programming problems with endogenous and exogenous uncertainty
Hooshmand, F.
;
MirHassani, S.A.
- In:
Mathematical methods of operations research
87
(
2018
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011873712
Saved in:
4
Quantile Hedging in a semi-static market with model uncertainty
Bayraktar, Erhan
;
Wang, Gu
- In:
Mathematical methods of operations research
87
(
2018
)
2
,
pp. 197-277
Persistent link: https://www.econbiz.de/10011873985
Saved in:
5
A limited-feedback approximation scheme for optimal switching problems with execution delays
Perninge, Magnus
- In:
Mathematical methods of operations research
87
(
2018
)
3
,
pp. 347-382
Persistent link: https://www.econbiz.de/10011874011
Saved in:
6
Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
Singh, Arti
;
Selvamuthu, Dharmaraja
- In:
Mathematical methods of operations research
86
(
2017
)
1
,
pp. 29-69
Persistent link: https://www.econbiz.de/10011714373
Saved in:
7
A mathematical model for personalized advertisement in virtual reality environments
Kilic, Kemal
;
Saygi, Menekse G.
;
Sezer, Semih O.
- In:
Mathematical methods of operations research
85
(
2017
)
2
,
pp. 241-264
Persistent link: https://www.econbiz.de/10011714435
Saved in:
8
Robust optimal investment and reinsurance problem for a general insurance company under Heston model
Huang, Ya
;
Xiangqun, Yang
;
Zhou, Jieming
- In:
Mathematical methods of operations research
85
(
2017
)
2
,
pp. 305-326
Persistent link: https://www.econbiz.de/10011714438
Saved in:
9
Better than pre-committed optimal mean-variance policy in a jump diffusion market
Shi, Yun
;
Li, Xun
;
Cui, Xiangyu
- In:
Mathematical methods of operations research
85
(
2017
)
3
,
pp. 327-347
Persistent link: https://www.econbiz.de/10011714505
Saved in:
10
Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
Pan, Jian
;
Xiao, Qingxian
- In:
Mathematical methods of operations research
85
(
2017
)
3
,
pp. 491-519
Persistent link: https://www.econbiz.de/10011714519
Saved in:
11
Optimal investment and consumption under partial information
Lindensjö, Kristoffer
- In:
Mathematical methods of operations research
83
(
2016
)
1
,
pp. 87-107
Persistent link: https://www.econbiz.de/10011446622
Saved in:
12
SAA method based on modified Newton method for stochastic variational inequality with second-oder cone constraints and application in portfolio optimization
Chen, Shuang
;
Pang, Li-Ping
;
Ma, Xue-Fei
;
Li, Dan
- In:
Mathematical methods of operations research
84
(
2016
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011673458
Saved in:
13
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Liang, Zhibin
;
Bi, Junna
;
Yuen, Kam Chuen
;
Zhang, Caibin
- In:
Mathematical methods of operations research
84
(
2016
)
1
,
pp. 155-181
Persistent link: https://www.econbiz.de/10011673473
Saved in:
14
Utility maximization in an illiquid market in continuous time
Soner, Halil Mete
;
Vukelja, Mirjana
- In:
Mathematical methods of operations research
84
(
2016
)
2
,
pp. 285-321
Persistent link: https://www.econbiz.de/10011673528
Saved in:
15
On the quantification of nomination feasibility in stationary gas networks with random load
Gotzes, Claudia
;
Heitsch, Holger
;
Henrion, René
; …
- In:
Mathematical methods of operations research
84
(
2016
)
2
,
pp. 427-457
Persistent link: https://www.econbiz.de/10011673543
Saved in:
16
Approximations of time-dependent unreliable flow lines with finite buffers
Göttlich, Simone
;
Kühn, Sebastian
;
Schwarz, J. A.
; …
- In:
Mathematical methods of operations research
83
(
2016
)
3
,
pp. 295-323
Persistent link: https://www.econbiz.de/10011673667
Saved in:
17
Decomposition approaches for block-structured chance-constrained programs with application to hydro-thermal unit commitment
Ackooij, Wim van
- In:
Mathematical methods of operations research
80
(
2014
)
3
,
pp. 227-253
Persistent link: https://www.econbiz.de/10010442262
Saved in:
18
Irreversible investments with delayed reaction : an application to generation re-dispatch in power system operation
Perninge, Magnus
;
Söder, Lennart
- In:
Mathematical methods of operations research
79
(
2014
)
2
,
pp. 195-224
Persistent link: https://www.econbiz.de/10010347955
Saved in:
19
The stochastic guaranteed service model with recourse for multi-echelon warehouse management
Rambau, Jörg
;
Schade, Konrad
- In:
Mathematical methods of operations research
79
(
2014
)
3
,
pp. 293-326
Persistent link: https://www.econbiz.de/10010371421
Saved in:
20
Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems
De Maere d'Aertrycke, Gauthier
;
Shapiro, Alexander
; …
- In:
Mathematical methods of operations research
77
(
2013
)
3
,
pp. 393-405
Persistent link: https://www.econbiz.de/10009774882
Saved in:
21
The stochastic shortest-path problem for Markov chains with infinite state space with applications to nearest-neighbor lattice chains
Lücking, Daniel
;
Stadje, Wolfgang
- In:
Mathematical methods of operations research
77
(
2013
)
2
,
pp. 239-264
Persistent link: https://www.econbiz.de/10009766707
Saved in:
22
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Lin, Xiang
;
Zhang, Chunhong
;
Siu, Tak Kuen
- In:
Mathematical methods of operations research
75
(
2012
)
1
,
pp. 83-100
Persistent link: https://www.econbiz.de/10009490707
Saved in:
23
Quantitative stability of mixed-integer two-stage quadratic stochastic programs
Chen, Zhiping
;
Han, Youpan
- In:
Mathematical methods of operations research
75
(
2012
)
2
,
pp. 149-163
Persistent link: https://www.econbiz.de/10009533448
Saved in:
24
Reflecting Brownian motion in three dimensions : a new proof of sufficient conditions for positive recurrence
Dai, J. G.
;
Harrison, J. Michael
- In:
Mathematical methods of operations research
75
(
2012
)
2
,
pp. 135-147
Persistent link: https://www.econbiz.de/10009533452
Saved in:
25
Postoptimality for mean-risk stochastic mixed-integer programs and its application
Chen, Zhiping
;
Zhang, Feng
;
Li Yang
- In:
Mathematical methods of operations research
74
(
2011
)
3
,
pp. 445-465
Persistent link: https://www.econbiz.de/10009405059
Saved in:
26
Testing diffusion processes for non-stationarity
Hamrick, Jeff
;
Taqqu, Murad S.
- In:
Mathematical methods of operations research
69
(
2009
)
3
,
pp. 509-551
Persistent link: https://www.econbiz.de/10003858276
Saved in:
27
A stochastic approximation method for the single-leg revenue management problem with discrete demand distributions
Kunnumkal, Sumit
;
Topaloğlu, Hüseyin
- In:
Mathematical methods of operations research
70
(
2009
)
3
,
pp. 477-504
Persistent link: https://www.econbiz.de/10003909278
Saved in:
28
Dependence properties and comparison results for Lévy processes
Bäuerle, Nicole
;
Blatter, Anja
;
Müller, Alfred
- In:
Mathematical methods of operations research
67
(
2008
)
1
,
pp. 161-186
Persistent link: https://www.econbiz.de/10003643618
Saved in:
29
Monte Carlo and quasi-Monte Carlo sampling methods for a class of stochastic mathematical programs with equilibrium constraints
Lin, Gui-Hua
;
Xu, Huifu
;
Fukushima, Masao
- In:
Mathematical methods of operations research
67
(
2008
)
3
,
pp. 423-441
Persistent link: https://www.econbiz.de/10003723039
Saved in:
30
Scheduling at coal handling facilities using Simulated Annealing
Conradie, David G.
;
Morison, Leilani E.
;
Joubert, Johan W.
- In:
Mathematical methods of operations research
68
(
2008
)
2
,
pp. 277-293
Persistent link: https://www.econbiz.de/10003763855
Saved in:
31
Tandem Brownian queues
Lieshout, P.
;
Mandjes, M.
- In:
Mathematical methods of operations research
66
(
2007
)
2
,
pp. 275-298
Persistent link: https://www.econbiz.de/10003564138
Saved in:
32
Semi-Markov modulated poisson process : probabilistic and statistical analysis
Özekici, S.
;
Soyer, R.
- In:
Mathematical methods of operations research
64
(
2006
)
1
,
pp. 125-144
Persistent link: https://www.econbiz.de/10003369335
Saved in:
33
Portfolio problems stopping at first hitting time with application to default risk
Kraft, Holger
;
Steffensen, Mogens
- In:
Mathematical methods of operations research
63
(
2006
)
1
,
pp. 123-150
Persistent link: https://www.econbiz.de/10003285476
Saved in:
34
Portfolio optimization in stochastic markets
Çakmak, U.
;
Özekici, S.
- In:
Mathematical methods of operations research
63
(
2006
)
1
,
pp. 151-168
Persistent link: https://www.econbiz.de/10003285483
Saved in:
35
Optimal consumption and investment problems under GARCH with transaction costs
Chen, Zhiping
;
Yuen, K. C.
- In:
Mathematical methods of operations research
61
(
2005
)
2
,
pp. 219-237
Persistent link: https://www.econbiz.de/10002858605
Saved in:
36
Ergodic and adaptive control of hidden Markov models
Duncan, T. E.
;
Pasik-Duncan, B.
;
Stettner, L.
- In:
Mathematical methods of operations research
62
(
2005
)
2
,
pp. 297-318
Persistent link: https://www.econbiz.de/10003226180
Saved in:
37
A unified approach to portfolio optimization with linear transaction costs
Zakamouline, Valeri I.
- In:
Mathematical methods of operations research
62
(
2005
)
2
,
pp. 319-343
Persistent link: https://www.econbiz.de/10003226181
Saved in:
38
Stochastic control problems with delay
Bauer, Harald
;
Rieder, Ulrich
- In:
Mathematical methods of operations research
62
(
2005
)
2
,
pp. 411-427
Persistent link: https://www.econbiz.de/10003232697
Saved in:
39
Investment optimization under constructions
Long, Nguyen-Than
- In:
Mathematical methods of operations research
60
(
2004
)
2
,
pp. 175-201
Persistent link: https://www.econbiz.de/10002386198
Saved in:
40
Inference of statistical bounds for multistage stochastic programming problems
Shapiro, Alex
- In:
Mathematical methods of operations research
58
(
2003
)
1
,
pp. 57-68
Persistent link: https://www.econbiz.de/10001788397
Saved in:
41
Ergodic behavior of a Markov chain model in a stochastic environment
Tsantas, N.
- In:
Mathematical methods of operations research
54
(
2001
)
1
,
pp. 101-117
Persistent link: https://www.econbiz.de/10001628093
Saved in:
42
Optimal portfolios for exponential Lévy processes
Kallsen, Jan
- In:
Mathematical methods of operations research
51
(
2000
)
3
,
pp. 357-374
Persistent link: https://www.econbiz.de/10001519649
Saved in:
43
Perturbation of linear quadratic systems with jump parameters and hybrid controls
El-Azouzi, Rachid
;
Abbad, Mohammed
;
Altman, Eitan
- In:
Mathematical methods of operations research
51
(
2000
)
3
,
pp. 399-417
Persistent link: https://www.econbiz.de/10001519653
Saved in:
44
Consumption-investment problems with transaction costs : survey and open problems
Cadenillas, Abel
- In:
Mathematical methods of operations research
51
(
2000
)
1
,
pp. 43-68
Persistent link: https://www.econbiz.de/10001488326
Saved in:
45
Optimal risk and dividend distribution control models for an insurance company
Taksar, Michael I.
- In:
Mathematical methods of operations research
51
(
2000
)
1
,
pp. 1-42
Persistent link: https://www.econbiz.de/10001488491
Saved in:
46
Portfolio optimization via stochastic programming : methods of output analysis
Dupačová, Jitka
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 245-270
Persistent link: https://www.econbiz.de/10001428771
Saved in:
47
Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times
Frey, Rüdiger
;
Runggaldier, Wolfgang J.
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 339-350
Persistent link: https://www.econbiz.de/10001428847
Saved in:
48
Stochastic orders and their applications in financial optimization
Kijima, Masaaki
;
Ohnishi, Masamitsu
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 351-372
Persistent link: https://www.econbiz.de/10001428857
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