Numerical treatment of an asset price model with non-stochastic uncertainty. (With comments and rejoinder).
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Publication:699507
DOI10.1007/BF02578932zbMATH Open1050.91051MaRDI QIDQ699507FDOQ699507
Authors: D. Kharzeev 
Publication date: 10 February 2003
Published in: Top (Search for Journal in Brave)
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Numerical mathematical programming methods (65K05) Interior-point methods (90C51) Semi-infinite programming (90C34)
Cites Work
- An equilibrium characterization of the term structure
- Interior Proximal and Multiplier Methods Based on Second Order Homogeneous Kernels
- An interior-proximal method for convex linearly constrained problems and its extension to variational inequalities
- Title not available (Why is that?)
- Proximal interior point method for convex semi-infinite programming
- Proximal methods in view of interior-point strategies
- Title not available (Why is that?)
- Critical sets in parametric optimization
- Proximal point approach and approximation of variational inequalities
- A logarithmic barrier approach and its regularization applied to convex semi-finite programming problems.
- Proximal interior point approach in convex programming (ill-posed problems)*†
Cited In (6)
- Comparative study of RPSALG algorithm for convex semi-infinite programming
- Formulation and solution strategies for nonparametric nonlinear stochastic programmes with an application in finance
- Title not available (Why is that?)
- An exchange method with refined subproblems for convex semi-infinite programming problems
- A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
- {\(\Gamma\)}-active constraints in convex semi-infinite programming
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