Found 9 Documents (Results 1–9)
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. (English) Zbl 1178.91189
A stochastic approximation method for the single-leg revenue management problem with discrete demand distributions. (English) Zbl 1177.93099
Solutions of the average cost optimality equation for finite Markov decision chains: Risk-sensitive and risk-neutral criteria. (English) Zbl 1177.93098
Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains. (English) Zbl 1177.93101
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