Stochastic optimization of risk functions via parametric smoothing
Yuri Ermoliev and Vladimir Norkin
| Year of publication: |
2004
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|---|---|
| Authors: | Ermolʹev, Jurij M. ; Norkin, Vladimir I. |
| Published in: |
Dynamic stochastic optimization : [this volume includes a selection of papers presented at the IFIP/IIASA/GAMM-Workshop on "Dynamic Stochastic Optimization" held at the International Institute for Systems Analysis (IIASA), Laxenburg, Austria, March 11 - 14, 2002]/ Kurt Marti ... (eds.). - Berlin : Springer, ISBN 3-540-40506-2. - 2004, p. 225-247
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| Subject: | Stochastischer Prozess | Stochastic process | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Risikomanagement | Risk management |