Search Results - subject_exact:"Stochastic process"

Real option valuation of an emerging renewable technology design in wave energy conversion

DiLellio, James A.; Butler, John C.; Rizaev, Igor; … - 2025

The untapped potential of wave energy offers another alternative to diversifying renewable energy sources and addressing climate change by reducing CO2 emissions. However, development costs to mature the technology remain significant hurdles to adoption at scale and the technology often must...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408163

Ants rather than molecules : the impact of herding on investment under uncertainty

Lukas, Elmar - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015445617

The effect of spot price control on the future electricity supply

Barrientos, Jorge Hugo; Hoyos, Santiago; Alviar, Mauricio - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015425671

Constant volatility estimation by classical and bayesian methods in a financial market : an application to Bancolombia's preferential prices

Cortés-García, Christian; Cangrejo-Esquivel, Alvaro - 2025

In this paper we propose methods, from a classical and Bayesian approach, to estimate the constant volatility of an asset when it is not appropriate to fit heteroscedastic or stochastic volatility models relative to the sample series of the asset where no large increase in volatility is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625862

A hybrid biobjective Markov chain based optimization model for sustainable aggregate production planning

Tirkolaee, Erfan Babaee; Aydın, Nadi Serhan; Mahdavi, Iraj - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015407828

The technician routing and scheduling problem with skills and time-sensitive returns under uncertainty

Elyasi, Milad; Dems, Amira; Adulyasak, Yossiri; Arslan, Okan - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617895

Optimal consumption and portfolio choice with no-borrowing constraint in the Kim-Omberg model

Ferrari, Giorgio; Schütz, Tim Niclas - 2026

In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a no-borrowing constraint. In the spirit of the Kim-Omberg model, the stochastic factor represents the excess return...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609775

Large and deep factor models

Kelly, Bryan T.; Kuznetsov, Boris; Malamud, Semyon; Xu, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609789

Determining the optimal order quantity for perishable products affected by stochastic transportation delays

Banthita Kanchanasathita; Atchara Wangpa; Apisit Pitakcheun - 2026

Background: Transportation delays pose significant challenges for perishable products by reducing freshness, shortening selling duration, and causing lost sales during the delay. Methods: Motivated by the growing importance of transportation delays on perishable products, this study develops a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611747

The vehicle routing problem with time window and randomness in demands, travel, and unloading times

Pérez-Lechuga, Gilberto; Venegas-Martínez, Francisco - 2026

Background: The vehicle routing problem (VRP) is of great importance in the Industry 4.0 era because enabling technologies such as the internet of things (IoT), artificial intelligence (AI), big data, and geographic information systems (GISs) allows for real-time solutions to versions of the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611767

Estimation and inference for stochastic volatility models with heavy-tailed distributions

Rodriguez Rondon, Gabriel; Dufour, Jean-Marie; Ahsan, Nazmul - 2026 - Last updated: March 6, 2026

Statistical inference-both estimation and testing-for stochastic volatility (SV) models is known to be challenging and computationally demanding. We propose simple and efficient estimators for SV models with conditionally heavy-tailed error distributions, particularly the Student's t and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015612285

The two-echelon multicommodity location-routing problem with stochastic and correlated demands

Escobar-Vargas, David; Crainic, Teodor Gabriel; Rei, Walter - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015613599

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The two-echelon multicommodity location-routing problem with stochastic and correlated demands

Escobar-Vargas, David; Crainic, Teodor Gabriel; Rei, Walter - 2023

Book / Working Paper

Service network design with uncertainty on water levels for intermodal river transport

Payami, Bita; Crainic, Teodor Gabriel; Rei, Walter; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015613601

Continuous-time scheduled service network design with stochastic travel times

Lanza, Giacomo; Crainic, Teodor Gabriel; Passacantando, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015613607

A spectral framework for non-Gaussian SVARs

Guay, Alain; Stevanović, Dalibor - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614076

Stochastic adaptive learning in dominance solvable games

Funai, Naoki - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614378

Confidence sets for the sample average approximation of stochastic discrete optimization problems

Martinoli, Mario; Seri, Raffaello; Tonati, Samuele - 2026

Purpose - We propose a method to build confidence sets for the solutions of stochastic discrete optimization problems solved through the sample average approximation method. Design/methodology/approach - By combining the concept of Model Confidence Set (MCS) with shrinkage estimation of large...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614656

Stochastic optimization and coupling

Yang, Frank; Yang, Kai Hao - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615690

Essays in stochastic modeling with applications to economics

Lin, Xu - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015595464

Green horizons : sustainable global logistics in dynamic supply chain management

Mohammadi, Mahsa; Tosarkani, Babak Mohamadpour - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015519790

A chance-constrained model for a production routing problem with uncertain availability of vehicles

Zanette, Alline; Gendreau, Michel; Rei, Walter - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015589894

Information-neutral hedging of derivatives under market impact and manipulation risk

Alimoradian, Behzad; Barigou, Karim; Eyraud, Anne - 2026

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591116

The dynamic interplay between inflation, economic policy uncertainty, and economic resilience in emerging markets : a time-varying parameter stochastic volatility vector autoregression analysis

Barguellil, Achouak - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620224

The theory of storage in a power system with stochastic demand

Biggar, Darryl; Hesamzadeh, Mohammad Reza - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620550

Impact of capping emissions on macroeconomic volatility : the case of Saudi Arabia

Galeottib, Marzio; Manzanoc, Baltasar; Pierru, Axel - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015637816

Stochastic burgers equation driven by a hermite sheet with additive noise : existence, uniqueness, and regularity

Lechiheb, Atef - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015637938

Canonical rough path over tempered fractional Brownian Motion : existence, construction, and applications

Lechiheb, Atef - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015637968

Solving the problem of socially-improving multivariate tax reform with s-order stochastic dominance : an application to Egyptian consumption

Faro, Ibrahima; Makdissi, Paul; Mussard, Stéphane - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638114

Identification in stochastic choice

Caradonna, Peter; Turansick, Christopher - 2026 - This version: February 23, 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638847

Analytical pricing of discretely sampled volatility swaps under the 4/2 stochastic volatility model

Rujivan, Sanae; Lim, Seyha; Thamrongrat, Nopporn; … - 2026

This paper develops a unified analytical framework for pricing discretely sampled volatility-average swaps under the 4/2 stochastic volatility model. The model accommodates a broad range of volatility dynamics by combining affine and inverse-affine components in the instantaneous volatility...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638992

Risk in a data-rich model

Caldara, Dario; Mumtaz, Haroon; Zhong, Molin - 2026

We characterize asymmetric tail risk across over one hundred U.S. macroeconomic and financial variables using a dynamic factor model with stochastic volatility. The model unifies growth-at-risk, inflation-at-risk, and sectoral heterogeneity through common factors whose volatility responds...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015637333

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Risk in a data-rich model

Caldara, Dario; Mumtaz, Haroon; Zhong, Molin - 2026

Book / Working Paper

Stationary distributions in monotone Markov models : theory and applications

Kamihigashi, Takashi; Stachurski, John - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639238

Recursive portfolio machines

Fan, Jonathan; Kelly, Bryan T.; Malamud, Semyon; Zhang, Yuan - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640045

Hidden optionalities in American options

El Hassan, Noura; Maddah, Bacel; Taleb, Nassim Nicholas - 2026

We develop a practical framework for identifying and quantifying the hidden layers of risks and optionality embedded in American options by introducing stochasticity into one or more of their underlying determinants. The heuristic approach remedies the problems of conventional pricing systems,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640263

Closed-form valuation of discounted cash flows with finite poisson arrivals in a finite horizon

Kitamura, Yuto; Kudo, Yuta; Shimoshimizu, Makoto; Goto, … - 2026

This paper derives a closed-form expression for the expected discounted value of aggregate cash flows when arrival times follow a Poisson process but both the time horizon and the number of arrivals are finite. The result provides a tractable analytical formula for the expected discounted sum...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640331

Posterior probabilities of dominance for wealth distributions

Griffiths, William E.; Duangkamon Chotikapanich - 2026

Probability distributions, which are typically used to describe income distributions, are not suitable to describe a population's distribution of wealth because of the existence of negative observations and a large concentration of values close to zero. To overcome these problems, we describe...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640527

A new functional setting for term structure modeling using the Heath-Jarrow-Morton framework

Pokojovy, Michael; Nkum, Ebenezer; Fullerton, Thomas M. - 2026

The well-known Heath-Jarrow-Morton (HJM) framework provides a universal and efficacious instrument for modeling the stochastic evolution of an entire yield curve by explaining the interest rate dynamics in continuous time under no-arbitrage conditions. Existing implementations involve...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640561

ORAKULUM : an information-impact asset pricing model introducing a jump-diffusion framework for information-driven markets

Köntös, Zoltán; Rahimkulov, Ruszlan Megdetovics - 2026

Standard asset pricing models treat price dynamics as a stochastic process driven by undifferentiated random noise, rendering them agnostic about the primary engine of price discovery: the arrival of economically significant information. This paper introduces ORAKULUM, a structured...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656182

Impact of simultaneous jumps in mortality and asset markets on GMDB riders

Zadeh, Amin Hassan; Rostami, Arman; Stankova, Kristina G. - 2026

This study investigates the impact of jointly modeling jumps in asset prices and mortality rates on the valuation of insurance guarantees. Mortality dynamics are specified using two extended frameworks based on the classical Lee-Carter model, with and without the inclusion of jump components....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656197

Characteristic function-based factor modeling of affine jump-diffusions using options

Boswijk, Herman Peter; Laeven, Roger J. A.; Marijnen, Niels - 2026

We develop a framework to analyze option markets using factor modeling techniques, offering a novel method to study how many and which risk factors drive the price process of a single asset. We exploit information contained in option prices to construct observations on the characteristic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656743

Sequential solution for DSGE models with deep neural networks

Ferrari, Massimo Minesso; Frenzel, Carla - 2026

This paper develops a sequential deep learning algorithm for solving dynamic stochastic general equilibrium (DSGE) models. The algorithm trains a deep neural network to approximate the model's policy functions across four progressive phases: steady-state anchoring, exploration around the steady...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650845

An analytical framework for sustainability assessment under stochastic conditions

Amirteimoori, Alireza; Allahviranloo, Tofigh; … - 2026

Measuring sustainability as an efficient tool to achieve sustainable development and improve economic, social, and environmental aspects is always fraught with complications. In this sense, developing a suitable approach for evaluating and recognizing the strengths and weaknesses across these...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654240

ROBIST : robust optimization by iterative scenario sampling and statistical testing

Starreveld, Justin; Jin, Guanyu; Hertog, Dirk den; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534326

Bounded rationality as limited optimization : stochastic gradient descent agents in macroeconomic models

Guerrón-Quintana, Pablo A. - 2026 - Version: March 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665460

Climate-induced geopolitical risk and financial interdependence in Europe : a systemic transition perspective

Riso, Luigi; Vacca, Gianmarco; Zoia, Maria Grazia - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665803

Profit maximization of ethanol distribution on manifold surfaces : a stochastic nonlinear programming approach

Tokgoz, Emre; Awudu, Iddrisu; Trafalis, Theodore B. - 2026

Background. Ethanol distribution in the energy supply chain can be maximized by solving a Location Routing Problem (LRP). Manifold LRP (MLRP) expands on the classic domain assumptions of LRP to manifold surfaces, and it can be applied to profit maximization in ethanol supply chains. Methods. In...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666866

Measuring and benchmarking time-varying market efficiency

Mu, Yali; Cramon-Taubadel, Stephan von; Rosero, Gabriel; … - 2026

This paper develops and implements an analytical framework combining spatial space techniques with panel stochastic frontier models to assess and benchmark time-varying market efficiency, with China's pork market serving as the empirical application. We analyze spatial and temporal dynamics in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666807

Adaptive decision-making strategy for supply chain systems under stochastic disruptions

Roi, Ho Van; You, Sam-Sang; Duy Anh Nguyen; Kim, Hwan-Seong - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014450257

Constant volatility estimation by classical and bayesian methods in a financial market: An application to Bancolombia's preferential prices

Cortés-García, Christian; Cangrejo-Esquivel, Alvaro - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015634213

Optimization via strategic law of large numbers

Chen, Xiaohong; Chen, Zengjing; Gao, Wayne Yuan; Yan, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616935