Journal: Mathematical Methods of Operations Research (Heidelberg)

Found 629 papers in total
Some applications of impulse control in mathematical finance
Some applications of impulse control in mathematical finance
1999,
We consider three applications of impulse control in financial mathematics, a cash...
Nearly optimal stationary policies in negative dynamic programming
Nearly optimal stationary policies in negative dynamic programming
1999,
This work concerns controlled Markov chains with denumerable state space and discrete...
An extension of the entropic perturbation method of linear programming
An extension of the entropic perturbation method of linear programming
1999,
In this paper, an extended form of the entropic perturbation method of linear...
A parametric embedding for the finite minimax problem
A parametric embedding for the finite minimax problem
1999,
We consider unconstrained finite minimax problems where the objective function is...
Optimal admission control for M/D/1/K queueing systems
Optimal admission control for M/D/1/K queueing systems
1999,
For a single server loss system with finite waiting room with Poisson arrivals and...
A class of extremum problems related to agency models with imperfect monitoring
A class of extremum problems related to agency models with imperfect monitoring
1999,
The cost minimization problem in an agency model with imperfect monitoring is...
Super-replication under proportional transaction costs: From discrete to continuous-time models
Super-replication under proportional transaction costs: From discrete to continuous-time models
1999,
In this paper, we study the problem of finding the minimal initial capital (i.e....
A counterexample on overtaking optimality
A counterexample on overtaking optimality
1999,
Brown constructed an aperiodic Markov decision chain in which no overtaking policy...
A note on strong 1-optimal policies in Markov decision chains with unbounded costs
A note on strong 1-optimal policies in Markov decision chains with unbounded costs
1999,
We extend a result by Cavazos-Cadena and Lasserre on the existence of strong 1-optimal...
On polynomial solvability of two multiprocessor scheduling problems
On polynomial solvability of two multiprocessor scheduling problems
1999,
We discuss a new approach for solving multiprocessor scheduling problems by using and...
Optimal stopping in Hilbert spaces and pricing of American options
Optimal stopping in Hilbert spaces and pricing of American options
1999,
We consider an optimal stopping problem for a Hilbert-space valued diffusion. We prove...
Short rate analysis and marked point processes
Short rate analysis and marked point processes
1999,
In this paper we model the instantaneous spot interest rate in a financial market by...
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
1999,
In this paper we extend standard dynamic programming results for the risk sensitive...
On value preserving and growth optimal portfolios
On value preserving and growth optimal portfolios
1999,
In a discrete-time financial market setting, the paper relates various concepts...
Consumption and portfolio selection with labor income: A discrete-time approach
Consumption and portfolio selection with labor income: A discrete-time approach
1999,
This paper studies the consumption and portfolio selection problem of an agent who is...
Portfolio optimization via stochastic programming: Methods of output analysis
Portfolio optimization via stochastic programming: Methods of output analysis
1999,
Solutions of portfolio optimization problems are often influenced by errors or...
Optimal investment and consumption models with non-linear stock dynamics
Optimal investment and consumption models with non-linear stock dynamics
1999,
We study a generalization of the Merton's original problem of optimal consumption and...
A utility maximization approach to hedging in incomplete markets
A utility maximization approach to hedging in incomplete markets
1999,
In this paper we introduce the notion of portfolio optimization by maximizing expected...
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
1999,
We consider a market where the price of the risky asset follows a stochastic...
Stochastic orders and their applications in financial optimization
Stochastic orders and their applications in financial optimization
1999,
Stochastic orders and inequalities are very useful tools in various areas of economics...
Average cost per unit time control of discrete time unreliable manufacturing systems with Markov demand
Average cost per unit time control of discrete time unreliable manufacturing systems with Markov demand
1999,
In the paper a discrete time manufacturing system consisting of a machine that...
Order picking in an automatic warehouse: Solving online asymmetric travelling salesman problems
Order picking in an automatic warehouse: Solving online asymmetric travelling salesman problems
1999,
We report on a joint project with industry that had the aim to sequence transportation...
A transportation problem with a permuted demand vector
A transportation problem with a permuted demand vector
1999,
This paper deals with transportation problems whose demand vectors can be permuted....
A note on the complexity of the transportation problem with a permutable demand vector
A note on the complexity of the transportation problem with a permutable demand vector
1999,
In this note we investigate the computational complexity of the transportation problem...
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