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20172026
most citedOn the Euler discretization error of Brownian motion about random times

3 citations · 8 across the 6 of their papers we have counts for

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math.OC2024★ 2 cited

Forecasting Outside the Box: Application-Driven Optimal Pointwise Forecasts for Stochastic Optimization

Tito Homem-de-Mello, Juan Valencia, Felipe Lagos +1

We study a class of two-stage stochastic programs, namely, those with fixed recourse matrix and fixed costs, and linear second stage. We show that, under mild assumptions, the prob…