John M. Mulvey, Hercules Vladimirou, Stochastic Network Programming for Financial Planning Problems, Management Science, Vol. 38, No. 11, Focused Issue on Financial ...

The optimization problems corresponding to the inventory games are formulated as stochastic programs. We observe that the strong duality of stochastic linear programming not only directly leads to a ...

Dynamic stochastic matching problems arise in a variety of recent applications, ranging from ridesharing and online video games to kidney exchange. Such problems are naturally formulated as Markov ...

Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications to finance Csaba I. Fábián, Anna Veszprémi ...

We consider integrated chance constraints, second-order stochastic dominance constraints, and constraints involving a special value-of-information risk measure. We also suggest application to further ...

Professor Ruszczynski’s interests are in the theory, numerical methods and applications of stochastic optimization. He is author of "Nonlinear Optimization", "Lectures on Stochastic programming", and ...

Crane, D. B. "A Stochastic Programming Model for Commercial Bank Bond Portfolio Management." Journal of Financial and Quantitative Analysis 6, no. 3 (June 1971 ...

Stochastic Sauna is a traditional workshop that brings together researchers and students working on probability, statistics, and their applications. The 2022 occasion will be held on 20th December ...