Browsing Preprints aus dem Institut für Mathematik by Subject "filtration"

Now showing items 1-2 of 2

2006-08-02Buch

Scenario tree modelling for multistage stochastic programs

Heitsch, Holger; Römisch, Werner

An important issue for solving multistage stochastic programs consists in the approximate representation of the (multivariate) stochastic input process in the form of a scenario tree. In this paper, forward and backward ...
2005-11-02Buch

Stability of multistage stochastic programs

Heitsch, Holger; Römisch, Werner; Strugarek, Cyrille

Quantitative stability of linear multistage stochastic programs is studied. It is shown that the infima of such programs behave (locally) Lipschitz continuous with respect to the sum of an Lr-distance and of a distance ...