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  • Search: subject:"Variational problem"
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Subject
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Variational problem 11 Theorie 9 Theory 9 Mathematical programming 8 Mathematische Optimierung 8 variational problem 7 Multi-criteria analysis 5 Multikriterielle Entscheidungsanalyse 5 dividends 3 scale functions 3 spectrally negative process 3 Convex function in the sphere 2 Dividend 2 Dividende 2 Dual optimization problem 2 Duales Optimierungsproblem 2 Duality 2 Markov chain 2 Markov-Kette 2 Monotone vector fields 2 Option pricing theory 2 Option trading 2 Optionsgeschäft 2 Optionspreistheorie 2 Sphere 2 Spheric constrained optimization 2 Stochastic process 2 Stochastischer Prozess 2 Symmetric duality 2 Volatility 2 Volatilität 2 de Finetti valuation objective 2 drawdown process 2 first passage 2 minimax 2 self duality 2 (F, α, ρ, θ)-convexity 1 (Stabilized) sequential quadratic programming 1 ARCH model 1 ARCH-Modell 1
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Undetermined 18 Free 2
Type of publication
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Article 22
Type of publication (narrower categories)
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Article in journal 11 Aufsatz in Zeitschrift 11 Article 1
Language
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English 12 Undetermined 10
Author
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Avram, Florin 3 Jayswal, Anurag 3 Ahmad, Izhar 2 Grahovac, Danijel 2 Gulati, T. R. 2 Husain, I. 2 Izmailov, A. 2 Kumar, Promila 2 Sharma, Bharti 2 Singh, Shipra 2 Solodov, M. 2 Vardar-Acar, Ceren 2 Ali, Helali 1 Arana-Jiménez, M. 1 Badreddinne, Kamoun 1 Choudhury, Sarita 1 Dagar, Jyoti 1 David, Afungchui 1 Egidi, N. 1 Ferreira, O. 1 Ferreira, O. P. 1 Figueiredo, Rafael M. A. 1 Goreac, Dan 1 Hsiao, Chun-Hui 1 Iusem, A. 1 Iusem, A. N. 1 Kurdi, Alia 1 Kurennoy, A. 1 Ling, Zhichao 1 Maponi, P. 1 Németh, S. 1 Németh, S. Z. 1 O'Kelly, Morton E. 1 Osuna-Gómez, R. 1 Pizzolato, Nelio D. 1 Razzaghi, M. 1 Rufián-Lizana, A. 1 Ruiz-Garzón, G. 1 Stancu-Minasian, I. M. 1 Xiao, Mingqing 1
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Published in...
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Mathematics and Computers in Simulation (MATCOM) 3 Opsearch : journal of the Operational Research Society of India 3 Computational Optimization and Applications 2 Computational Statistics 1 European journal of operational research : EJOR 1 International journal of financial engineering 1 International transactions in operational research : ITOR ; a journal of the International Federation of Operational Research Societies (IFORS) 1 Journal of Global Optimization 1 Mathematical Methods of Operations Research 1 Mathematics and financial economics 1 RAIRO / Operations research 1 Renewable Energy 1 Risks 1 Risks : open access journal 1 Scandinavian actuarial journal 1 TOP: An Official Journal of the Spanish Society of Statistics and Operations Research 1 Top : transactions in operations research 1
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Source
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ECONIS (ZBW) 11 RePEc 10 EconStor 1
Showing 1 - 10 of 22
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The W,Z/ν,δ paradigm for the first passage of strong Markov processes without positive jumps
Avram, Florin; Grahovac, Danijel; Vardar-Acar, Ceren - In: Risks 7 (2019) 1, pp. 1-17
variational problem has been solved in a parallel paper. …
Persistent link: https://www.econbiz.de/10013200436
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The W,Z/ν,δ paradigm for the first passage of strong Markov processes without positive jumps
Avram, Florin; Grahovac, Danijel; Vardar-Acar, Ceren - In: Risks : open access journal 7 (2019) 1/18, pp. 1-17
variational problem has been solved in a parallel paper. …
Persistent link: https://www.econbiz.de/10012016015
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Short maturity conditional Asian options in local volatility models
Yao, Nian; Ling, Zhichao; Zhang, Jieyu; Xiao, Mingqing - In: Mathematics and financial economics 14 (2020) 2, pp. 307-328
Persistent link: https://www.econbiz.de/10012240287
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A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time
Avram, Florin; Goreac, Dan - In: Scandinavian actuarial journal 2019 (2019) 9, pp. 799-823
Persistent link: https://www.econbiz.de/10012194999
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Multiobjective variational problems and generalized vector variational-type inequalities
Jayswal, Anurag; Singh, Shipra - In: RAIRO / Operations research 51 (2017) 1, pp. 211-225
Persistent link: https://www.econbiz.de/10011774468
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Multi-objective semi-infinite variational problem and generalized invexity
Kumar, Promila; Sharma, Bharti; Dagar, Jyoti - In: Opsearch : journal of the Operational Research Society … 54 (2017) 3, pp. 580-597
Persistent link: https://www.econbiz.de/10011795829
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Multitime multiobjective variational problems and vector variational-like inequalities
Jayswal, Anurag; Singh, Shipra; Kurdi, Alia - In: European journal of operational research : EJOR 254 (2016) 3, pp. 739-745
Persistent link: https://www.econbiz.de/10011521791
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Weak efficiency of higher order for multiobjective fractional variational problem
Kumar, Promila; Sharma, Bharti - In: Opsearch : journal of the Operational Research Society … 53 (2016) 3, pp. 538-552
Persistent link: https://www.econbiz.de/10011608945
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Local convergence of the method of multipliers for variational and optimization problems under the noncriticality assumption
Izmailov, A.; Kurennoy, A.; Solodov, M. - In: Computational Optimization and Applications 60 (2015) 1, pp. 111-140
We present a local convergence analysis of the method of multipliers for equality-constrained variational problems (in the special case of optimization, also called the augmented Lagrangian method) under the sole assumption that the dual starting point is close to a noncritical Lagrange...
Persistent link: https://www.econbiz.de/10011151831
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Short maturity options for Azéma-Yor martingales
Zhu, Lingjiong - In: International journal of financial engineering 2 (2015) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10011493322
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