In this paper, we present a robust optimization formulation for dealing with demand uncertainty in a dynamic pricing and inventory control problem for a make-to-stock manufacturing...
We propose a new iterative approach for solving linear programs over convex cones. Assuming that Slaters condition is satisfied, the conic problem is transformed to the minimizatio...
In this paper, we continue our study of learning an optimal kernel in a prescribed convex set of kernels, [18]. We present a reformulation of this problem within a feature space e...
We study the boundary measures of compact subsets of the d-dimensional Euclidean space, which are closely related to Federer’s curvature measures. We show that they can be comput...
The aim of this paper is to investigate the properties of stochastic volatility models, and to discuss to what extent, and with regard to which models, properties of the classical...