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 : open access journal 8 (2020) 3/72, 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/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

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

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

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

Chapter 5 Numerical solution of dynamic economic models

Santos, Manuel S. - In: Handbook of macroeconomics : volume 1, part A, (pp. 311-386). 1999

This chapter is concerned with numerical simulation of dynamic economic models. We focus on some basic algorithms and assess their accuracy and stability properties. This analysis is useful for an optimal implementation and testing of these procedures, as well as to evaluate their performance....

Persistent link: https://www.econbiz.de/10014024245

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