Journal: Mathematical Methods of Operations Research

Found 203 papers in total
The Myerson value for complete coalition structures
The Myerson value for complete coalition structures
2011,
In order to describe partial cooperation structures, this paper introduces complete...
Postoptimality for mean‐risk stochastic mixed‐integer programs and its application
Postoptimality for mean‐risk stochastic mixed‐integer programs and its application
2011,
The mean‐risk stochastic mixed‐integer programs can better model complex...
Encoding the dynamics of deterministic systems
Encoding the dynamics of deterministic systems
2011,
We present a model for the dynamics of discrete deterministic systems, based on an...
Mixed integer linear models for the optimization of dynamical transport networks
Mixed integer linear models for the optimization of dynamical transport networks
2011,
We introduce a mixed integer linear modeling approach for the optimization of dynamic...
Combinatorial integral approximation
Combinatorial integral approximation
2011,
We are interested in structures and efficient methods for mixed‐integer...
Graph problems arising from parameter identification of discrete dynamical systems
Graph problems arising from parameter identification of discrete dynamical systems
2011,
This paper focuses on combinatorial feasibility and optimization problems that arise...
Continuous and discrete flows over time
Continuous and discrete flows over time
2011,
Network flows over time form a fascinating area of research. They model the temporal...
Risk sensitive impulse control of non‐Markovian processes
Risk sensitive impulse control of non‐Markovian processes
2011,
We consider the problem of an optimal stochastic impulse control of...
Risk averse asymptotics in a Black–Scholes market on a finite time horizon
Risk averse asymptotics in a Black–Scholes market on a finite time horizon
2011,
We consider the optimal investment and consumption problem in a Black–Scholes...
Balancedness conditions for exact games
Balancedness conditions for exact games
2011,
We provide two new characterizations of exact games. First, a game is exact if and...
Extensions to online delay management on a single train line: new bounds for delay minimization and profit maximization
Extensions to online delay management on a single train line: new bounds for delay minimization and profit maximization
2011,
We present extensions to the Online Delay Management Problem on a Single Train Line....
A self‐concordance property for nonconvex semidefinite programming
A self‐concordance property for nonconvex semidefinite programming
2011,
The paper considers nonconvex quadratic semidefinite problems. This class arises, for...
Pricing and hedging of Asian options: quasi‐explicit solutions via Malliavin calculus
Pricing and hedging of Asian options: quasi‐explicit solutions via Malliavin calculus
2011,
We use Malliavin calculus and the Clark–Ocone formula to derive the hedging...
Work effort, consumption, and portfolio selection: when the occupational choice matters
Work effort, consumption, and portfolio selection: when the occupational choice matters
2011,
We consider a highly‐qualified individual with respect to her choice between...
Accuracy of fluid approximations to controlled birth‐and‐death processes: absorbing case
Accuracy of fluid approximations to controlled birth‐and‐death processes: absorbing case
2011,
We consider the fluid model of a controlled birth‐and‐death process with...
The restricted core of games on distributive lattices: how to share benefits in a hierarchy
The restricted core of games on distributive lattices: how to share benefits in a hierarchy
2011,
Finding a solution concept is one of the central problems in cooperative game theory,...
Constructing a Pareto front approximation for decision making
Constructing a Pareto front approximation for decision making
2011,
An approach to constructing a Pareto front approximation to computationally expensive...
Almost sure Nash equilibrium strategies in evolutionary models of asset markets
Almost sure Nash equilibrium strategies in evolutionary models of asset markets
2011,
We consider a stochastic model of a financial market with long‐lived...
Existence of shadow prices in finite probability spaces
Existence of shadow prices in finite probability spaces
2011,
A shadow price is a process S ˜ lying within the bid/ask prices S ̲ , S ¯ of a...
Inverse p‐median problems with variable edge lengths
Inverse p‐median problems with variable edge lengths
2011,
The inverse p ‐median problem with variable edge lengths on graphs is to modify...
On evolutionary ray‐projection dynamics
On evolutionary ray‐projection dynamics
2011,
We introduce the ray‐projection dynamics in evolutionary game theory by...
Sojourn time asymptotics in a parking lot network
Sojourn time asymptotics in a parking lot network
2011,
For a two-class two-node bandwidth sharing network called parking lot network we...
Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures
Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures
2011,
A fruitful idea, when providing subdifferential formulae and dual representations for...
On the transformation of lexicographic nonlinear multiobjective programs to single objective programs
On the transformation of lexicographic nonlinear multiobjective programs to single objective programs
2011,
This paper deals with multiobjective optimization programs in which the objective...
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