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 ...

This is a preview. Log in through your library . Abstract In this paper, we present a unified approach to study a class of cooperative games arising from inventory centralization. The optimization ...

This is a preview. Log in through your library . Abstract In probabilistic linear programming models the decision maker is typically assumed to know the probability distribution of the random ...

Professor Ruszczynski’s interests are in the theory, numerical methods and applications of stochastic optimization. He is author of "Nonlinear Optimization", "Lectures on Stochastic programming", and ...

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 ...

Stochastic programming methods can be applied to portfolio optimization in the context of pension fund management. In this paper we apply stochastic programming wherein the allocations are found among ...

Crane, D. B. "A Stochastic Programming Model for Commercial Bank Bond Portfolio Management." Journal of Financial and Quantitative Analysis 6, no. 3 (June 1971).

In this paper we study the problems of pricing and optimizing sidecar and collateralized reinsurance portfolios. The academic literature on sidecar portfolio optimization that takes into account the ...