Search Results - subject:"Stochastic Process"

Conic optimization with applications in finance and approximation theory

Kirschner, Felix - 2023

Persistent link: https://www.econbiz.de/10014301389

Model-free analysis of real option exercise probability and timing

Kang, Sang Baum; Létourneau, Pascal - In: Quantitative finance 23 (2023) 10, pp. 1531-1544

Persistent link: https://www.econbiz.de/10014419176

Consistent time window assignments for stochastic multi-depot multi-commodity pickup and delivery

Zehtabian, Shohre; Ulmer, Marlin Wolf - 2023

In this paper, we present the problem of assigning consistent time windows for the collection of multiple fresh products from local farmers and delivering them to distribution centers for consolidation and further distribution in a short agri-food supply chain with stochastic demand. We...

Persistent link: https://www.econbiz.de/10014025779

Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan - 2023

Persistent link: https://www.econbiz.de/10014336459

Asian option pricing under sub-fractional Vasicek model

Tao, Lichao; Lai, Yuefu; Ji, Yanting; Tao, Xiangxing - In: Quantitative finance and economics 7 (2023) 3, pp. 403-419

Persistent link: https://www.econbiz.de/10015125016

Representation for martingales living after a random time with applications

Choulli, Tahir; Alharbi, Ferdoos - In: Frontiers of mathematical finance : FMF 2 (2023) 2, pp. 170-201

Persistent link: https://www.econbiz.de/10015374043

A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependenceh

Mai, Jan-Frederik; Blagoeva, Aleksandra; Scherer, Matthias - In: Frontiers of mathematical finance : FMF 2 (2023) 4, pp. 522-553

Persistent link: https://www.econbiz.de/10015374119

Blood inventory management : ordering policies for hospital blood banks under uncertainty

Meneses, Maria; Marques, Inês; Barbosa-Póvoa, Ana Paula - In: International transactions in operational research : a … 30 (2023) 1, pp. 273-301

Persistent link: https://www.econbiz.de/10013417037

Stochastic local search and parameters recommendation : a case study on flowshop problems

Pavelski, Lucas M.; Delgado, Myriam; Kessaci, … - In: International transactions in operational research : a … 30 (2023) 2, pp. 774-799

Persistent link: https://www.econbiz.de/10013417085

Continuous-time random matching

Duffie, Darrell; Qiao, Lei; Sun, Yeneng - 2023 - This version: August 18, 2023

Persistent link: https://www.econbiz.de/10014476657