Volume 2001
Neuzugänge

20011113BuchMartingale pricing measures in incomplete markets via stochastic programming duality in the dual of L ∞ We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims, using conjugate duality and optimization theory. Various statements in the literature of the fundamental theorem of asset ...

20011105BuchAdapting an approximate level method to the twostage stochastic programming problem We present a decomposition method for the solution of stwostage stochastic programming problems. This is an approximate method that can handle problems with large number scenarios. At the beginning, only rough approximation ...

20011004BuchRisk measures for income streams A new measure of risk is introduced for a sequence of random incomes adapted to some filtration. This measure is formulated as the optimal net present value of a stream of adaptively planned commitments for consumption. ...

20010923BuchTreesparse convex programs Dynamic stochastic programs are prototypical for optimization problems with an inherent tree structure including characteristic sparsity patterns in the KKT systems of interior methods. We propose an integrated modeling ...

20010726BuchStochastic programming duality L ∞ multipliers with an application to mathematical financeA new duality theory is developed for a class of stochastic programs in which the probability distribution is not necessarily discrete. This provides a new framework for problems which are not necessarily bounded, are not ...

20010626BuchApplying the minimum risk criterion in stochastic recourse programs In the setting of stochastic recourse programs, we consider the problem of minimizing the probability of total costs exceeding a certain threshold value. The problem is referred to as the minimum risk problem and is posed ...

20010606BuchModeling farmers' response to uncertain rainfall in Burkina Faso a stochastic programming approachFarmers on the Central Plateau of Burkina Faso in West Africa cultivate under precarious conditions. Rainfall variability is extremely high in this area, and accounts for much of the uncertainty surrounding the farmers? ...

20010526BuchDecomposition algorithms for stochastic programming on a computational grid We describe algorithms for twostage stochastic linear programming with recourse and their implementation on a grid computing platform. In particular, we examine serial and asynchronous versions of the Lshaped method and ...

20010420BuchA multistage stochastic integer programming approach for capacity expansion under uncertainty This paper addresses a multiperiod investment model for capacity expansion in an uncertain environment. Using a scenario tree approach to model the evolution of uncertain demand and cost parameters, and fixedcharge cost ...

20010416BuchSecondorder lower bounds on the expectation of a convex function We develop a class of lower bounds on the expectation of a convex function. The bounds utilize the first two moments of the underlying random variable, whose support is contained in a bounded interval or hyperrectangle. ...

20010404BuchMultistage stochastic integer programs An introductionWe consider linear mulitstage stochastic integer programs and study their functional and dynamic programming formulations as well as conditions for optimality and stability of solutions. Furthermore, we study the application ...

20010324BuchDual stochastic dominance and related meanrisk models We consider the problem of constructing meanrisk models which are consistent with the second degree stochastic dominance relation. By exploiting duality relations of convex analysis we develop the quantile model of ...

20010130BuchDecomposition of test sets in stochastic integer programming Graver test sets for linear twostage stochastic integer programs are studied. It is shown that test sets can be decomposed into finitely many building blocks whose number is independent of the number of scenarios of the ...