Galerkin methods in dynamic stochastic programming

DOI10.1080/02331931003696368MaRDI QIDQ3577835zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

basis strategiesconvexitydynamic stochastic programmingGalerkin method

Mathematics Subject Classification ID

Newton-type methods (49M15) Stochastic programming (90C15) Convex programming (90C25)

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Cites work

• Adjustable robust solutions of uncertain linear programs
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
• Epi-Convergent Discretizations of Multistage Stochastic Programs
• Epi-convergent discretizations of multistage stochastic programs via integration quadratures
• Epi-convergent discretizations of stochastic programs via integration quadratures
• Extending scope of robust optimization: comprehensive robust counterparts of uncertain problems
• Inference of statistical bounds for multistage stochastic programming problems
• Numerical methods for the pricing of swing options: a stochastic control approach
• On complexity of stochastic programming problems
• On decision rules in stochastic programming
• On the distribution of points in a cube and the approximate evaluation of integrals
• Step decision rules for multistage stochastic programming: a heuristic approach
• Stochastic finance. An introduction in discrete time
• The pricing of options and corporate liabilities

Cited in

(6)

• Parallel stochastic dynamic programming: Finite element methods
• Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
• Reduced form modeling of limit order markets
• Superhedging in illiquid markets
• Hedging of long term zero-coupon bonds in a market model with reinvestment risk
• Introduction to convex optimization in financial markets

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