Search Results - subject:"Numerical Algorithm"

Capacity rationing in multiserver, nonpreemptive priority queues

Baron, Opher; Lu, Tianshu; Wang, Jianfu - In: Manufacturing & service operations management : M & SOM 27 (2025) 4, pp. 1107-1125

Persistent link: https://www.econbiz.de/10015433256

Numerical algorithms for reflected anticipated backward stochastic differential equations with two obstacles and default risk

Wang, Jingnan; Korn, Ralf - In: Risks 8 (2020) 3, pp. 1-30

We study numerical algorithms for reflected anticipated backward stochastic differential equations (RABSDEs) driven by a Brownian motion and a mutually independent martingale in a defaultable setting. The generator of a RABSDE includes the present and future values of the solution. We introduce...

Persistent link: https://www.econbiz.de/10013200605

Numerical algorithms for reflected anticipated backward stochastic differential equations with two obstacles and default risk

Wang, Jingnan; Korn, Ralf - In: Risks : open access journal 8 (2020) 3/72, pp. 1-30

Persistent link: https://www.econbiz.de/10012293131

Option pricing with the control variate technique beyond Monte Carlo simulation

Chiu, Chun-Yuan; Dai, Tian-Shyr; Lyuu, Yuh-dauh; Liu, … - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013539074

On approximating the gradient of the value function

Dmitriev, Alexandre - In: Theoretical economics letters 9 (2019) 1, pp. 126-138

Persistent link: https://www.econbiz.de/10012005374

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

A nonparametric method for term structure fitting with automatic smoothing

Kaushanskiy, Vadim; Lapshin, Victor - In: Applied economics 48 (2016) 58/60, pp. 5654-5666

Persistent link: https://www.econbiz.de/10011772026

ПРИНЯТИЕ ИНВЕСТИЦИОННЫХ РЕШЕНИЙ НА ОСНОВЕ ТЕОРИИ ОПТИМАЛЬНОГО УПРАВЛЕНИЯ ДИСКРЕТНЫМИ СИСТЕМАМИ

ВАЛЕРЬЕВИЧ, ПАВЛОВ ОЛЕГ - In: Проблемы управления (2010) 3, pp. 27-33

На основе теории оптимального управления дискретными системами предложен общий подход к принятию инвестиционных решений. Сформулирована и решена, опираясь на...

Persistent link: https://www.econbiz.de/10011237950

A numerical algorithm for a class of BSDEs via the branching process

Henry-Labordère, Pierre; Tan, Xiaolu; Touzi, Nizar - In: Stochastic Processes and their Applications 124 (2014) 2, pp. 1112-1140

any backward regression. To prove that the numerical algorithm converges to the solution of BSDEs, we use the notion of …

Persistent link: https://www.econbiz.de/10011064971

Technological Transfers, Limited Commitment and Growth

Dmitriev, Alexandre - Society for Computational Economics - SCE - 2006

This paper examines the effect on economic growth and welfare of the access to external financing which results in technological transfers to a developing country from the rest of the world. We consider a two-sector stochastic growth model and compute optimal accumulation mechanisms in the...

Persistent link: https://www.econbiz.de/10005537451