Journal: Mathematical Methods of Operations Research

Found 203 papers in total
Multilinear extensions and values for multichoice games
Multilinear extensions and values for multichoice games
2010,
We define multilinear extensions for multichoice games and relate them to...
Games with externalities: games in coalition configuration function form
Games with externalities: games in coalition configuration function form
2010,
In this paper we introduce a model of cooperative game with externalities which...
Solving a class of variational inequalities with inexact oracle operators
Solving a class of variational inequalities with inexact oracle operators
2010,
Consider a class of variational inequality problems of finding x * ∈ S , such...
Comparison and robustification of Bayes and Black-Litterman models
Comparison and robustification of Bayes and Black-Litterman models
2010,
For determining an optimal portfolio allocation, parameters representing the...
Sensitivity analysis and optimal ultimately stationary deterministic policies in some constrained discounted cost models
Sensitivity analysis and optimal ultimately stationary deterministic policies in some constrained discounted cost models
2010,
We consider a discrete time Markov Decision Process (MDP) under the discounted payoff...
Optimal investment strategies with a reallocation constraint
Optimal investment strategies with a reallocation constraint
2010,
We study a Merton type optimization problem under a reallocation constraint. Under...
A dual approach to multiple exercise option problems under constraints
A dual approach to multiple exercise option problems under constraints
2010,
This paper considers the pricing of multiple exercise options in discrete time. This...
Markov control processes with pathwise constraints
Markov control processes with pathwise constraints
2010,
This paper deals with discrete-time Markov control processes in Borel spaces, with...
Asymptotic expansions for the sojourn time distribution in the M/G/1-PS queue
Asymptotic expansions for the sojourn time distribution in the M/G/1-PS queue
2010,
We consider the M / G /1 queue with a processor sharing server. We study the...
A unified treatment of dividend payment problems under fixed cost and implementation delays
A unified treatment of dividend payment problems under fixed cost and implementation delays
2010,
In this paper we study the dividend optimization problem for a corporation or a...
Optimal investment for a pension fund under inflation risk
Optimal investment for a pension fund under inflation risk
2010,
This paper investigates an optimal investment problem faced by a defined contribution...
A simpler characterization of a spectral lower bound on the clique number
A simpler characterization of a spectral lower bound on the clique number
2010,
Given a simple, undirected graph G , Budinich (2003) proposed a lower bound on the...
Extensions to the continuous ordered median problem
Extensions to the continuous ordered median problem
2010,
Classical location models fix an objective function and then attempt to find optimal...
Compactness of the space of non-randomized policies in countable-state sequential decision processes
Compactness of the space of non-randomized policies in countable-state sequential decision processes
2010,
For sequential decision processes with countable state spaces, we prove compactness of...
Optimal investment under partial information
Optimal investment under partial information
2010,
We consider the problem of maximizing terminal utility in a model where asset prices...
A two stage stochastic equilibrium model for electricity markets with two way contracts
A two stage stochastic equilibrium model for electricity markets with two way contracts
2010,
This paper investigates generators' strategic behaviors in contract signing in the...
Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains
Optimality equations and inequalities in a class of risk-sensitive average cost Markov decision chains
2010,
This note concerns controlled Markov chains on a denumerable sate space. The...
The cutting power of preparation
The cutting power of preparation
2010,
In a strategic game, a curb set is a product set of pure strategies containing all...
An infeasible nonmonotone SSLE (sequential systems of linear equations) algorithm for nonlinear programming
An infeasible nonmonotone SSLE (sequential systems of linear equations) algorithm for nonlinear programming
2010,
In this paper, we propose a new nonmonotone algorithm using the sequential systems of...
An extended covering model for flexible discrete and equity location problems
An extended covering model for flexible discrete and equity location problems
2010,
To model flexible objectives for discrete location problems, ordered median functions...
Global optimization of a rank-two nonconvex program
Global optimization of a rank-two nonconvex program
2010,
In this paper a solution algorithm for a class of rank-two nonconvex programs having a...
Optimal investment with deferred capital gains taxes
Optimal investment with deferred capital gains taxes
2010,
We solve the optimal portfolio problem of an investor in a complete market who is...
Robust static hedging of barrier options in stochastic volatility models
Robust static hedging of barrier options in stochastic volatility models
2009,
Static hedge portfolios for barrier options are extremely sensitive with respect to...
Can properly discounted projects follow geometric Brownian motion?
Can properly discounted projects follow geometric Brownian motion?
2009,
The geometric Brownian motion is routinely used as a dynamic model of underlying...
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