Galerkin methods in dynamic stochastic programming
From MaRDI portal
Publication:3577835
DOI10.1080/02331931003696368zbMATH Open1196.90084OpenAlexW2095201268MaRDI QIDQ3577835FDOQ3577835
Authors: Matti Koivu, Teemu Pennanen 
Publication date: 26 July 2010
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331931003696368
Recommendations
- Stochastic Galerkin methods for analyzing equilibria of random dynamical systems
- Galerkin methods for linear and nonlinear elliptic stochastic partial differential equations
- scientific article; zbMATH DE number 686924
- scientific article; zbMATH DE number 15143
- An approximation scheme for stochastic dynamic optimization problems
- Stochastic Galerkin methods in hyperbolic equations
- scientific article; zbMATH DE number 686898
- scientific article; zbMATH DE number 3843511
- Stochastic Galerkin techniques for random ordinary differential equations
- Nonsmooth-optimization methods in problems of stochastic programming
Cites Work
- The pricing of options and corporate liabilities
- On the distribution of points in a cube and the approximate evaluation of integrals
- Stochastic finance. An introduction in discrete time
- Step decision rules for multistage stochastic programming: a heuristic approach
- Epi-Convergent Discretizations of Multistage Stochastic Programs
- Epi-convergent discretizations of multistage stochastic programs via integration quadratures
- Extending scope of robust optimization: comprehensive robust counterparts of uncertain problems
- Epi-convergent discretizations of stochastic programs via integration quadratures
- An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
- Adjustable robust solutions of uncertain linear programs
- On complexity of stochastic programming problems
- Inference of statistical bounds for multistage stochastic programming problems
- Numerical methods for the pricing of swing options: a stochastic control approach
- On decision rules in stochastic programming
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
Cited In (6)
- Parallel stochastic dynamic programming: Finite element methods
- Superhedging in illiquid markets
- Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
- Reduced form modeling of limit order markets
- Hedging of long term zero-coupon bonds in a market model with reinvestment risk
- Introduction to convex optimization in financial markets
This page was built for publication: Galerkin methods in dynamic stochastic programming
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3577835)
