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Dynamic Stochastic Optimization · Study

BookDynamic Stochastic Optimization

Kurt Marti2004

Book2004

Dynamic Stochastic Optimization

Kurt Marti · Yuri M. Ermoliev · Georg Ch. Pflug

60 citations·0/0 files stored·Lecture notes in economics and mathematical systems

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Risk and Portfolio Optimization Advanced Control Systems Optimization Adaptive Dynamic Programming Control

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References

2000Optimization of conditional value-at-risk 1995Stochastic Programming 1978Risk Theory: The Stochastic Basis of Insurance.1995Derivatives of probability functions and some applications 2000Stochastic Optimization of Insurance Portfolios for Managing Exposure to Catastrophic Risks 1995Differentiation of probability functions: The transformation method 1998Differentiability of probability function

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2013Bounds in Multistage Linear Stochastic Programming 2011Systemic Risk and Security Management 2010Optimal control of dynamical systems and structures under stochastic uncertainty

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Year2004

Typebook

Published2004-01-01

VenueLecture notes in economics and mathematical systems

ISSN-L0075-8442

Languageen

Citations60

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/978-3-642-55884-9

openalex_workW568117459

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