25 search results - page 4 / 5 » Financial Stochastics |
WSC
2008
13 years 9 months ago
2008
We study a stochastic optimization problem that has its roots in financial portfolio design. The problem has a specified deterministic objective function and constraints on the co...
MOR
2006
13 years 7 months ago
2006
Abstract. We solve the Poisson disorder problem when the delay is penalized exponentially. Our objective is to detect as quickly as possible the unobservable time of the change (or...
AUTOMATICA
2006
13 years 7 months ago
2006
A simulation-based optimization framework involving simultaneous perturbation stochastic approximation (SPSA) is presented as a means for optimally specifying parameters of intern...
COCOON
2008
Springer
13 years 9 months ago
2008
Springer
Consider a trader who exchanges one dollar into yen and assume that the exchange rate fluctuates within the interval [m, M]. The game ends without advance notice, then the trader ...
CSDA
2010
13 years 7 months ago
2010
The Gaussian kernel density estimator is known to have substantial problems for bounded random variables with high density at the boundaries. For i.i.d. data several solutions hav...