Search Results - subject:"fractional programming"

Multi-dimensional transitional dynamics : a simple numerical procedure

Trimborn, Timo; Koch, Karl-Josef; Steger, Thomas M. - 2004 - This version: March 2005

We propose the relaxation algorithm as a simple and powerful method for simulating the transition process in growth models. This method has a number of important advantages: (1) It can easily deal with a wide range of dynamic systems including multi-dimensional systems with stable eigenvalues...

Persistent link: https://www.econbiz.de/10002521532

Fractional programming

Frenk, Johannes G. (contributor); … - 2004 - [Elektronische Ressource]

website: www.erim.eur.nl FRACTIONAL PROGRAMMING J.B.G. Frenk and S. Schaible ERASMUS RESEARCH INSTITUTE OF … and engineering Fractional programming. J.B.G.Frenk Econometric Institute, Erasmus University, 3000 DR Rotterdam, The … Neumann’s, a systematic study of fractional programming began much later. In 1962 Charnes and Cooper (cf.[17]) published their …

Persistent link: https://www.econbiz.de/10002208308

Nonlinear pricing under a balanced-budget requirement : the two-type case

Andersson, Tommy (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002346304

Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation

Düring, Bertram (contributor); Fourni, Michel (contributor) - 2004

A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the...

Persistent link: https://www.econbiz.de/10002527950

Gradient estimation schemes for noisy functions

Brekelmans, Ruud; Driessen, Lonneke; Hamers, Herbert; … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001773655

Gradient estimation using lagrange interpolation polynomials

Brekelmans, Ruud; Driessen, Lonneke; Hamers, Herbert; … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001830145

Jackknife and analytical bias reduction for nonlinear panel models

Hahn, Jinyong (contributor); Newey, Whitney K. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001835709

Estimation of fractional integration in the presence of data noise

Haldrup, Niels (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001776942

Portfolio investment with the exact tax basis via nonlinear programming

DeMiguel, Angel-Victor (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001777076

Estimation of Fractional Integration in the Presence of Data Noise

Haldrup, Niels; Nielsen, Morten Ørregaard - 2003

The paper presents a comparative study on the performance of commonly used estimators of the fractional order of integration when data is contaminated by noise. In particular, measurement errors, additive outliers, temporary change outliers, and structural change outliers are addressed. It...

Persistent link: https://www.econbiz.de/10014076069