Journal: Mathematical Methods of Operations Research

Found 203 papers in total
Better than pre-committed optimal mean-variance policy in a jump diffusion market
2017,
Dynamic mean‐variance investment model can not be solved by dynamic programming...
A maximum principle for Markov regime-switching forward‐backward stochastic differential games and applications
2017,
In this paper, we present an optimal control problem for stochastic differential games...
Random reduction consistency of the Weber set, the core and the anti-core
2017,
In this paper we introduce a new consistency condition and provide characterizations...
Decomposition of network communication games
2017,
Using network control structures, this paper introduces a general class of network...
Optimal double control problem for a PDE model of goodwill dynamics
2017,
We propose a new optimal control model of product goodwill in a segmented market where...
A space decomposition scheme for maximum eigenvalue functions and its applications
2017,
In this paper, we study nonlinear optimization problems involving eigenvalues of...
Optimal mean‐variance asset-liability management with stochastic interest rates and inflation risks
2017,
This paper considers an optimal asset‐liability management problem with...
Error bounds for stochastic shortest path problems
2017,
For stochastic shortest path problems, error bounds for value iteration due to...
Mean‐variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
2017,
The efficient modeling of execution price path of an asset to be traded is an...
Scheduling for a processor sharing system with linear slowdown
2017,
We consider the problem of scheduling arrivals to a congestion system with a finite...
Optimality conditions in optimization problems with convex feasible set using convexificators
2017,
In this paper, we consider a nonsmooth optimization problem with a convex feasible set...
An optimal subgradient algorithm for large-scale bound-constrained convex optimization
2017,
This paper shows that the optimal subgradient algorithm (OSGA)–which uses...
On an extension of the concept of TU-games and their values
2017,
We propose a new more general approach to TU‐games and their efficient values,...
Hedging under generalized good-deal bounds and model uncertainty
2017,
We study a notion of good‐deal hedging, that corresponds to good‐deal...
How to solve a design centering problem
2017,
This work considers the problem of design centering. Geometrically, this can be...
Pricing and clearing combinatorial markets with singleton and swap orders
2017,
In this article we consider combinatorial markets with valuations only for singletons...
An optimal reinsurance problem in the Cramér‐Lundberg model
2017,
In this article we consider the surplus process of an insurance company within the...
Computing all solutions of linear generalized Nash equilibrium problems
2017,
In this paper we consider linear generalized Nash equilibrium problems, i.e., the cost...
Proposing a method for fixed cost allocation using DEA based on the efficiency invariance and common set of weights principles
2017,
One of the applications of data envelopment analysis is fixed costs allocation among...
A mathematical model for personalized advertisement in virtual reality environments
2017,
We consider a personalized advertisement assignment problem faced by the manager of a...
Utility indifference pricing and hedging for structured contracts in energy markets
2017,
In this paper we study the pricing and hedging of structured products in energy...
Robust optimal investment and reinsurance problem for a general insurance company under Heston model
2017,
In this paper, we study a robust optimal investment and reinsurance problem for a...
Dynamic programming with Hermite approximation
2015,
Numerical dynamic programming algorithms typically use Lagrange data to approximate...
Continuity of the optimal average cost in Markov decision chains with small risk-sensitivity
2015,
This note concerns discrete‐time controlled Markov chains driven by a decision...
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