Abstract. We address the problem of continuous stochastic optimal control in the presence of hard obstacles. Due to the non-smooth character of the obstacles, the traditional appro...
One of the most important policies adopted in inventory control is the (R,S) policy (also known as the “replenishment cycle” policy). Under the non-stationary demand assumption...
We study approximations of optimization problems with probabilistic constraints in which the original distribution of the underlying random vector is replaced with an empirical dis...
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
Efficient design of cognitive radio networks calls for secondary users implementing adaptive resource allocation, which requires knowledge of the channel state information in ord...