Keyword: stochastic processes

Found 1442 papers in total
A mathematical model for personalized advertisement in virtual reality environments
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
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
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...
Production with Risk Hedging–Optimal Policy and Efficient Frontier
Production with Risk Hedging–Optimal Policy and Efficient Frontier
2017,
Demand for many products may depend on the price of a tradable asset or on the economy...
Multilevel Monte Carlo Metamodeling
Multilevel Monte Carlo Metamodeling
2017,
Approximating the function that maps the input parameters of the simulation model to...
Exact Simulation of the SABR Model
Exact Simulation of the SABR Model
2017,
The stochastic alpha‐beta‐rho (SABR) model becomes popular in the...
Estimation of Lévy-driven Ornstein‐Uhlenbeck processes: application to modeling of CO2 and fuel-switching
Estimation of Lévy-driven Ornstein‐Uhlenbeck processes: application to modeling of CO2 and fuel-switching
2017,
This paper proposes an estimation methodology for Lévy‐driven...
Managing soil natural capital: a prudent strategy for adapting to future risks
Managing soil natural capital: a prudent strategy for adapting to future risks
2017,
Farmers are exposed to substantial weather and market related risks. Rational farmers...
Improving the speed of adoption of agricultural technologies and farm performance through farmer groups: evidence from the Great Lakes region of Africa
Improving the speed of adoption of agricultural technologies and farm performance through farmer groups: evidence from the Great Lakes region of Africa
2017,
The article examines the effect of membership in farmer groups (MFG) on adoption lag...
Determining an Optimal Action Portfolio for Water Resource Management by Using Stochastic Programming
Determining an Optimal Action Portfolio for Water Resource Management by Using Stochastic Programming
2017,
A regional water management system always contains long‐term and...
When Friends Become Competitors: The Design of Resource Exchange Alliances
When Friends Become Competitors: The Design of Resource Exchange Alliances
2017,
Many carriers, such as airlines and ocean carriers, collaborate through the formation...
Mixed-Integer Rounding Enhanced Benders Decomposition for Multiclass Service-System Staffing and Scheduling with Arrival Rate Uncertainty
Mixed-Integer Rounding Enhanced Benders Decomposition for Multiclass Service-System Staffing and Scheduling with Arrival Rate Uncertainty
2017,
We study server scheduling in multiclass service systems under uncertainty in the...
Pricing catastrophe bonds with multistage stochastic programming
Pricing catastrophe bonds with multistage stochastic programming
2017,
In this paper we present a method of pricing catastrophe bonds (cat bonds) using...
Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
2017,
This paper addresses the generation of scenario trees to solve stochastic programming...
A joint model of probabilistic/robust constraints for gas transport management in stationary networks
A joint model of probabilistic/robust constraints for gas transport management in stationary networks
2017,
We present a novel mathematical algorithm to assist gas network operators in managing...
Stochastic subgradient descent method for large-scale robust chance-constrained support vector machines
Stochastic subgradient descent method for large-scale robust chance-constrained support vector machines
2017,
Robust chance‐constrained Support Vector Machines (SVM) with...
A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry
A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry
2017,
This paper proposes a multistage stochastic programming approach for the...
Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
2017,
The less efficient markets offer scope for enhanced indexing (EI), an investment...
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
2017,
We argue that sovereign debt sustainability analysis must be augmented by stochastic...
Nonparametric estimation of the determinants of inefficiency
Nonparametric estimation of the determinants of inefficiency
2017,
We consider the benchmark stochastic frontier model where inefficiency is directly...
Meaningful learning in weighted voting games: an experiment
Meaningful learning in weighted voting games: an experiment
2017,
By employing binary committee choice problems, this paper investigates how varying or...
Single-commodity stochastic network design under demand and topological uncertainties with insufficient data
Single-commodity stochastic network design under demand and topological uncertainties with insufficient data
2017,
Stochastic network design is fundamental to transportation and logistic problems in...
An inexact sample average approximation approach for the stochastic connected facility location problem
An inexact sample average approximation approach for the stochastic connected facility location problem
2017,
The sample average approximation (SAA) approach is a widely used technique, based on...
Ship scheduling problems in tramp shipping considering static and spot cargoes
Ship scheduling problems in tramp shipping considering static and spot cargoes
2017,
Tramp shipping is the main transportation mode for dry bulk cargoes in international...
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