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ORCIDJournal of Optimization Theory and Applications, Volume 161
Volume 161, Number 1, April 2014
- Jérôme Detemple:
Portfolio Selection: A Review. 1-21 - Bernt Øksendal, Agnès Sulem:
Forward-Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty. 22-55 - Daniel Hernández-Hernández, Erick Treviño-Aguilar
:
Characterization of the Value Process in Robust Efficient Hedging. 56-75 - Florence Guillaume, Wim Schoutens:
Heston Model: The Variance Swap Calibration. 76-89 - Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson:
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model. 90-102 - Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi:
Recent Developments in Robust Portfolios with a Worst-Case Approach. 103-121 - Yang Wang, Baojun Bian, Jizhou Zhang:
Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model. 122-144 - Duy Nguyen, Jingzhi Tie, Qing Zhang:
An Optimal Trading Rule Under a Switchable Mean-Reversion Model. 145-163 - Edson Ngounda, Kailash C. Patidar, Edgard Pindza:
A Robust Spectral Method for Solving Heston's Model. 164-178 - Vincent Guigues, Claudia A. Sagastizábal, Jorge P. Zubelli:
Robust Management and Pricing of Liquefied Natural Gas Contracts with Cancelation Options. 179-198 - Hoai An Le Thi, Mahdi Moeini:
Long-Short Portfolio Optimization Under Cardinality Constraints by Difference of Convex Functions Algorithm. 199-224 - James J. Kung:
Optimal Portfolio Decision Rule Under Nonparametric Characterization of the Interest Rate Dynamics. 225-238 - Irmina Czarna, Zbigniew Palmowski:
Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process. 239-256 - Hailin Sun, Huifu Xu, Yong Wang:
Asymptotic Analysis of Sample Average Approximation for Stochastic Optimization Problems with Joint Chance Constraints via Conditional Value at Risk and Difference of Convex Functions. 257-284 - Christopher J. Bose, Rua Murray:
Maximum Entropy Estimates for Risk-Neutral Probability Measures with Non-Strictly-Convex Data. 285-307 - Tiago Pascoal Filomena, Miguel A. Lejeune:
Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs. 308-329
Volume 161, Number 2, May 2014
- Boushra Abbas, Hédy Attouch, Benar Fux Svaiter:
Newton-Like Dynamics and Forward-Backward Methods for Structured Monotone Inclusions in Hilbert Spaces. 331-360 - Louis Blanchard, Régis Duvigneau, Anh-Vu Vuong, Bernd Simeon:
Shape Gradient for Isogeometric Structural Design. 361-367 - Andreas H. Hamel, Andreas Löhne:
Lagrange Duality in Set Optimization. 368-397 - Nguyen Thanh Qui:
Generalized Differentiation of a Class of Normal Cone Operators. 398-429 - Gabriela Marinoschi:
Variational Solutions to Nonlinear Diffusion Equations with Singular Diffusivity. 430-445 - Nan Lu, Zheng-Hai Huang:
A Smoothing Newton Algorithm for a Class of Non-monotonic Symmetric Cone Linear Complementarity Problems. 446-464 - Zhou Wei, Qing Hai He:
Nonsmooth Steepest Descent Method by Proximal Subdifferentials in Hilbert Spaces. 465-477 - Yunda Dong:
The Proximal Point Algorithm Revisited. 478-489 - Jean Guérin, Patrice Marcotte, Gilles Savard:
Approximation in p-Norm of Univariate Concave Functions. 490-505 - Bita Tadayon, J. Cole Smith:
Algorithms for an Integer Multicommodity Network Flow Problem with Node Reliability Considerations. 506-532 - Fabrice Talla Nobibon, Roel Leus:
Complexity Results and Exact Algorithms for Robust Knapsack Problems. 533-552 - Younseok Choo:
Improved Optimum Radius for Robust Stability of Schur Polynomials. 553-556 - Kwang Ki Kevin Kim, Naira Hovakimyan:
Multi-Criteria Optimization for Filter Design of L1 Adaptive Control. 557-581 - Erez Sigal, Joseph Z. Ben-Asher:
Optimal Control for Switched Systems with Pre-defined Order and Switch-Dependent Dynamics. 582-591 - Jianxiong Zhang, Lin Feng, Wansheng Tang:
Optimal Contract Design of Supplier-Led Outsourcing Based on Pontryagin Maximum Principle. 592-607 - Jonathan P. Caulkins, Gustav Feichtinger, Dieter Grass, Richard F. Hartl, Peter M. Kort, Andreas J. Novak, Andrea Seidl, Franz Wirl:
A Dynamic Analysis of Schelling's Binary Corruption Model: A Competitive Equilibrium Approach. 608-625 - Fouad El Ouardighi, Matan Shnaiderman, Federico Pasin:
Research and Development with Stock-Dependent Spillovers and Price Competition in a Duopoly. 626-647 - Wen-Tsung Ho, Yu-Cheng Hsiao:
Optimal Mixed Batch Shipment Policy with Variable Safety Factor for the Single-Vendor Single-Buyer Production-Inventory System. 648-663 - Haiyang Wang, Zhen Wu:
Partially Observed Time-Inconsistency Recursive Optimization Problem and Application. 664-687 - Mehiddin Al-Baali, Lucio Grandinetti, Ornella Pisacane:
Damped Techniques for the Limited Memory BFGS Method for Large-Scale Optimization. 688-699
Volume 161, Number 3, June 2014
- Shin-ya Matsushita, Li Xu:
On Finite Convergence of Iterative Methods for Variational Inequalities in Hilbert Spaces. 701-715 - Haiyun Zhou, Peiyuan Wang:
A Simpler Explicit Iterative Algorithm for a Class of Variational Inequalities in Hilbert Spaces. 716-727 - José Yunier Bello Cruz, R. Díaz Millán:
A Direct Splitting Method for Nonsmooth Variational Inequalities. 728-737 - Shengkun Zhu, Shengjie Li:
Unified Duality Theory for Constrained Extremum Problems. Part I: Image Space Analysis. 738-762 - Shengkun Zhu, Shengjie Li:
Unified Duality Theory for Constrained Extremum Problems. Part II: Special Duality Schemes. 763-782 - Iasson Karafyllis:
Feedback Stabilization Methods for the Solution of Nonlinear Programming Problems. 783-806 - Fabián Flores Bazán:
Fritz John Necessary Optimality Conditions of the Alternative-Type. 807-818 - Jinghao Zhu, Shangrui Zhao, Guohua Liu:
On Box Constrained Concave Quadratic Optimization. 819-827 - Jinghao Zhu, Shangrui Zhao, Guohua Liu:
Solution to Global Minimization of Polynomials by Backward Differential Flow. 828-836 - Sergio Amat, Ioannis K. Argyros, Sonia Busquier, Saïd Hilout:
Expanding the Applicability of High-Order Traub-Type Iterative Procedures. 837-852 - Behrouz Kheirfam:
A New Complexity Analysis for Full-Newton Step Infeasible Interior-Point Algorithm for Horizontal Linear Complementarity Problems. 853-869 - Olvi L. Mangasarian:
Absolute Value Equation Solution Via Linear Programming. 870-876 - Rongjie Liu, Shihua Li:
Suboptimal Integral Sliding Mode Controller Design for a Class of Affine Systems. 877-904 - Ruth Misener, Christodoulos A. Floudas:
A Framework for Globally Optimizing Mixed-Integer Signomial Programs. 905-932 - Tri Tran, Quang Phuc Ha:
Decentralized Model Predictive Control for Networks of Linear Systems with Coupling Delay. 933-950 - Francisco Periago:
Optimal Design of the Time-Dependent Support of Bang-Bang Type Controls for the Approximate Controllability of the Heat Equation. 951-968 - Xiaoling Zou, Ke Wang:
Optimal Harvesting for a Logistic Population Dynamics Driven by a Lévy Process. 969-979 - Daji Ergu, Gang Kou, János Fülöp, Yong Shi:
Further Discussions on Induced Bias Matrix Model for the Pair-Wise Comparison Matrix. 980-993 - Elham Kiyani, Majid Soleimani-Damaneh:
Algebraic Interior and Separation on Linear Vector Spaces: Some Comments. 994-998 - Markus Hofer, Maria Rita Iacò:
Optimal Bounds for Integrals with Respect to Copulas and Applications. 999-1011 - Mohammad Kazem Sayadi, Ahmad Makui:
Feedback Nash Equilibrium for Dynamic Brand and Channel Advertising in Dual Channel Supply Chain. 1012-1021
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