Many Grid applications involve combining computational and data access components into complex workflows. A distinction is generally made between mechanisms to compose components ...
Abstract. Given an optimization problem with a composite of a convex and componentwise increasing function with a convex vector function as objective function, by means of the conj...
We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European cal...
Scott B. Laprise, Michael C. Fu, Steven I. Marcus,...
We consider two-stage pure integer programs with discretely distributed stochastic right-hand sides. We present an equivalent superadditive dual formulation that uses the value fun...
In this paper, we propose a stochastic mixed multiscale finite element method. The proposed method solves the stochastic porous media flow equation on the coarse grid using a set ...