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(Research report / Forskningsrapport, 1978)
(Research report / Forskningsrapport, 1979)
(Research report / Forskningsrapport, 1985)
(Research report / Forskningsrapport, 1982)
(Research report / Forskningsrapport, 1983)
(Research report / Forskningsrapport, 1985)
(Research report / Forskningsrapport, 2008)
This monograph sets forth the results of a study of the geometry of a simplex, multiply-cut by hyperplanes, and its implications for constrained optimization. First, the study presents basic cases about the polytope which ...
(Research report / Forskningsrapport, 2008)
We study the pricing of American put and call options in a market with jumps. We extend and make rigorous previous work that characterizes the price as a solution of an integro-differential equation set on the whole domain. ...
(Research report / Forskningsrapport, 2008)
We investigate a constrained stochastic control problem connected to a financial contract representing a virtual factory. Commonly known as tolling agreements, these contracts are traded in free energy markets and include ...
(Research report / Forskningsrapport, 2009)
We develop a viscosity solution theory for a system of nonlinear degenerate parabolic integro-partial differential equations (IPDEs) related to stochastic optimal switching and control problems or stochastic games. In the ...