Auflistung Volume 2001 nach Titel
Anzeige der Publikationen 10-13 von 13
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2001-10-04BuchRisk 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. ...
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2001-04-16BuchSecond-order 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 hyper-rectangle. ...
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2001-07-26BuchStochastic programming duality A 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 ...
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2001-09-23BuchTree-sparse 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 ...