1 citations · 1 across the 1 of their papers we have counts for
2 papers
math.OC2014
Adaptive Search Algorithms for Discrete Stochastic Optimization: A Smooth Best-Response Approach
Omid Namvar Gharehshiran, Vikram Krishnamurthy, George Yin
This paper considers simulation-based optimization of the performance of a regime-switching stochastic system over a finite set of feasible configurations. Inspired by the stochast…
q-fin.PM2010★ 1 cited
Utility Maximization of an Indivisible Market with Transaction Costs
Qingshuo Song, G. Yin, Chao Zhu
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region…