Stochastic programming can effectively describe many decision-making problems in uncertain environments. Unfortunately, such programs are often computationally demanding to solve. In addition, their ...

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 ...

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 ...

You are currently accessing Risk.net via your Enterprise account. If you already have an account please use the link below to sign in. If you have any problems with your access or would like to ...

We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to ...

Stochastic processes provide a probabilistic framework to model the time-evolving uncertainty intrinsic to financial markets. By characterising random movements such as asset prices, interest rates ...