Formulation and solution strategies for nonparametric nonlinear stochastic programs, with an application in finance.

Bastin, Fabian; Cirillo, Cinzia

by Fabian Bastin and Cinzia Cirillo

Reference:

Formulation and solution strategies for nonparametric nonlinear stochastic programs, with an application in finance. (Fabian Bastin and Cinzia Cirillo), In Optimization, volume 59, 2010.

Bibtex Entry:

@Article{BastCiriToin10a,
  Title                    = {Formulation and solution strategies for nonparametric nonlinear stochastic programs, with an application in finance.},
  Author                   = {Fabian Bastin and Cinzia Cirillo and {\relax Ph}ilippe L. Toint},
  Journal                  = {Optimization},
  Year                     = {2010},
  Number                   = {3},
  Pages                    = {355--376},
  Volume                   = {59}
}