Di, Bolei; Lamperski, Andrew Newton’s method, Bellman recursion and differential dynamic programming for unconstrained nonlinear dynamic games. (English) Zbl 1494.91020 Dyn. Games Appl. 12, No. 2, 394-442 (2022). MSC: 91A25 91A10 49L20 49M15 PDFBibTeX XMLCite \textit{B. Di} and \textit{A. Lamperski}, Dyn. Games Appl. 12, No. 2, 394--442 (2022; Zbl 1494.91020) Full Text: DOI
Fang, Ming; Perng, Cherng-tiao A mean-variance acreage model. (English) Zbl 1492.91011 Appl. Anal. 101, No. 4, 1211-1224 (2022). MSC: 91-10 91A80 PDFBibTeX XMLCite \textit{M. Fang} and \textit{C.-t. Perng}, Appl. Anal. 101, No. 4, 1211--1224 (2022; Zbl 1492.91011) Full Text: DOI
Ahmadian, D.; Farkhondeh Rouz, O.; Ivaz, K.; Safdari-Vaighani, A. Robust numerical algorithm to the European option with illiquid markets. (English) Zbl 1433.91191 Appl. Math. Comput. 366, Article ID 124693, 13 p. (2020). MSC: 91G60 35Q91 65M12 91G20 PDFBibTeX XMLCite \textit{D. Ahmadian} et al., Appl. Math. Comput. 366, Article ID 124693, 13 p. (2020; Zbl 1433.91191) Full Text: DOI
Yong, Longquan High order Newton’s method for portfolio optimization model. (Chinese. English summary) Zbl 1449.91138 Math. Pract. Theory 49, No. 19, 216-221 (2019). MSC: 91G10 90C53 PDFBibTeX XMLCite \textit{L. Yong}, Math. Pract. Theory 49, No. 19, 216--221 (2019; Zbl 1449.91138)
Teng, Huei-Wen; Fuh, Cheng-Der; Chen, Chun-Chieh On an automatic and optimal importance sampling approach with applications in finance. (English) Zbl 1400.91613 Quant. Finance 16, No. 8, 1259-1271 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{H.-W. Teng} et al., Quant. Finance 16, No. 8, 1259--1271 (2016; Zbl 1400.91613) Full Text: DOI
Lee, Jinhyuk; Seo, Kyoungwon Revisiting the nested fixed-point algorithm in BLP random coefficients demand estimation. (English) Zbl 1396.91392 Econ. Lett. 149, 67-70 (2016). MSC: 91B42 54H25 65D15 PDFBibTeX XMLCite \textit{J. Lee} and \textit{K. Seo}, Econ. Lett. 149, 67--70 (2016; Zbl 1396.91392) Full Text: DOI
Song, Haiming; Zhang, Qi; Li, Jingzhi; Liu, Hongyu Finite element method for valuation of American lookback options. (Chinese. English summary) Zbl 1389.91131 Math. Numer. Sin. 38, No. 3, 245-256 (2016). MSC: 91G60 65M60 91G20 60G40 PDFBibTeX XMLCite \textit{H. Song} et al., Math. Numer. Sin. 38, No. 3, 245--256 (2016; Zbl 1389.91131)
Coleman, Thomas F.; Xu, Wei Automatic differentiation in MATLAB using ADMAT with applications. (English) Zbl 1364.65056 Software - Environments - Tools 27. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (ISBN 978-1-61197-435-5/pbk; 978-1-61197-436-2/ebook). xii, 105 p. (2016). Reviewer: Manfred Tasche (Rostock) MSC: 65D25 65-01 68W30 91G60 PDFBibTeX XMLCite \textit{T. F. Coleman} and \textit{W. Xu}, Automatic differentiation in MATLAB using ADMAT with applications. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (2016; Zbl 1364.65056) Full Text: DOI
Ďuriš, Karol; Tan, Shih-Hau; Lai, Choi-Hong; Ševčovič, Daniel Comparison of the analytical approximation formula and Newton’s method for solving a class of nonlinear Black-Scholes parabolic equations. (English) Zbl 1330.91183 Comput. Methods Appl. Math. 16, No. 1, 35-50 (2016). MSC: 91G60 65M06 35C20 35K55 35Q91 PDFBibTeX XMLCite \textit{K. Ďuriš} et al., Comput. Methods Appl. Math. 16, No. 1, 35--50 (2016; Zbl 1330.91183) Full Text: DOI arXiv
Aguilar, Juan C. Approximation of the free boundary of an American call option by finite differences on parallelograms. (English) Zbl 1343.91046 Int. J. Appl. Math. 28, No. 6, 691-701 (2015). MSC: 91G60 65M06 65M32 91G20 PDFBibTeX XMLCite \textit{J. C. Aguilar}, Int. J. Appl. Math. 28, No. 6, 691--701 (2015; Zbl 1343.91046) Full Text: DOI
Ruszczyński, Andrzej Erratum to “Risk-averse dynamic programming for Markov decision processes”. (English) Zbl 1291.49019 Math. Program. 145, No. 1-2 (A), 601-604 (2014). MSC: 49L20 90C40 91B30 91A25 93E20 49M15 PDFBibTeX XMLCite \textit{A. Ruszczyński}, Math. Program. 145, No. 1--2 (A), 601--604 (2014; Zbl 1291.49019) Full Text: DOI
Baumeister, J. Inverse problems in finance. (English) Zbl 1282.91372 Gerstner, Thomas (ed.) et al., Recent developments in computational finance. Foundations, algorithms and applications. In part based on the presentations at the international workshop on numerical algorithms in computational finance, Frankfurt/Main, Germany, July 20–22, 2011. Hackensack, NJ: World Scientific (ISBN 978-981-4436-42-7/hbk; 978-981-4436-44-1/ebook). Interdisciplinary Mathematical Sciences 14, 81-157 (2013). Reviewer: Iulian Stoleriu (Iaşi) MSC: 91G60 91G80 35R30 91G20 91-02 91-04 PDFBibTeX XMLCite \textit{J. Baumeister}, Interdiscip. Math. Sci. 14, 81--157 (2013; Zbl 1282.91372) Full Text: DOI
Witte, J. H.; Reisinger, C. Penalty methods for the solution of discrete HJB equations – continuous control and obstacle problems. (English) Zbl 1314.65087 SIAM J. Numer. Anal. 50, No. 2, 595-625 (2012). Reviewer: John T. Coletsos (Athens) MSC: 65K10 65M12 35F21 49J20 49J55 91B26 91G60 PDFBibTeX XMLCite \textit{J. H. Witte} and \textit{C. Reisinger}, SIAM J. Numer. Anal. 50, No. 2, 595--625 (2012; Zbl 1314.65087) Full Text: DOI arXiv
Ivanov, Ivan Improved methods to solve the stochastic Nash games for weakly coupled large-scale systems iteratively. (English) Zbl 1264.91018 Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 18, No. 6, 783-798 (2011). MSC: 91A15 15A24 15A45 65F35 PDFBibTeX XMLCite \textit{I. Ivanov}, Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 18, No. 6, 783--798 (2011; Zbl 1264.91018) Full Text: Link
McLeish, Don A general method for debiasing a Monte Carlo estimator. (English) Zbl 1238.65004 Monte Carlo Methods Appl. 17, No. 4, 301-315 (2011). MSC: 65C05 65C40 91G60 60H05 PDFBibTeX XMLCite \textit{D. McLeish}, Monte Carlo Methods Appl. 17, No. 4, 301--315 (2011; Zbl 1238.65004) Full Text: DOI arXiv
Morrow, W. Ross; Skerlos, Steven J. Fixed-point approaches to computing Bertrand-Nash equilibrium prices under mixed-logit demand. (English) Zbl 1237.91102 Oper. Res. 59, No. 2, 328-345 (2011). MSC: 91B24 91B52 65F10 PDFBibTeX XMLCite \textit{W. R. Morrow} and \textit{S. J. Skerlos}, Oper. Res. 59, No. 2, 328--345 (2011; Zbl 1237.91102) Full Text: DOI
Ishimura, N.; Koleva, M. N.; Vulkov, L. G. Numerical solution via transformation methods of nonlinear models in option pricing. (English) Zbl 1230.91190 Todorov, Michail D. (ed.) et al., Application of mathematics in technical and natural sciences. Proceedings of the 2nd international conference (AMiTaNS’10), Sozopol, Bulgaria, June 21–26, 2010. Melville, NY: American Institute of Physics (AIP) (ISBN 978-0-7354-0856-2/pbk). AIP Conference Proceedings 1301, 387-394 (2010). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{N. Ishimura} et al., AIP Conf. Proc. 1301, 387--394 (2010; Zbl 1230.91190) Full Text: DOI
Ruszczyński, Andrzej Risk-averse dynamic programming for Markov decision processes. (English) Zbl 1207.49032 Math. Program. 125, No. 2 (B), 235-261 (2010); erratum ibid. 145, No. 1-2 (A), 601-604 (2014). MSC: 49L20 90C40 91B30 91A25 93E20 49M15 PDFBibTeX XMLCite \textit{A. Ruszczyński}, Math. Program. 125, No. 2 (B), 235--261 (2010; Zbl 1207.49032) Full Text: DOI
Qi, Houduo; Sun, Defeng Correlation stress testing for value-at-risk: an unconstrained convex optimization approach. (English) Zbl 1198.91091 Comput. Optim. Appl. 45, No. 2, 427-462 (2010). MSC: 91B30 91G10 90C25 PDFBibTeX XMLCite \textit{H. Qi} and \textit{D. Sun}, Comput. Optim. Appl. 45, No. 2, 427--462 (2010; Zbl 1198.91091) Full Text: DOI
Bokanowski, Olivier; Maroso, Stefania; Zidani, Hasnaa Some convergence results for Howard’s algorithm. (English) Zbl 1201.49030 SIAM J. Numer. Anal. 47, No. 4, 3001-3026 (2009). MSC: 49M15 65K10 90C47 91G10 PDFBibTeX XMLCite \textit{O. Bokanowski} et al., SIAM J. Numer. Anal. 47, No. 4, 3001--3026 (2009; Zbl 1201.49030) Full Text: DOI
Sagara, Muneomi; Mukaidani, Hiroaki; Yamamoto, Toru Numerical solution of stochastic Nash games with state-dependent noise for weakly coupled large-scale systems. (English) Zbl 1136.91324 Appl. Math. Comput. 197, No. 2, 844-857 (2008). MSC: 91A15 90C15 49N10 91A23 PDFBibTeX XMLCite \textit{M. Sagara} et al., Appl. Math. Comput. 197, No. 2, 844--857 (2008; Zbl 1136.91324) Full Text: DOI Link
Guo, Chun-Hua A new class of nonsymmetric algebraic Riccati equations. (English) Zbl 1125.15015 Linear Algebra Appl. 426, No. 2-3, 636-649 (2007). Reviewer: Qing-Wen Wang (Shanghai) MSC: 15A24 65F30 65H10 91A23 49N70 PDFBibTeX XMLCite \textit{C.-H. Guo}, Linear Algebra Appl. 426, No. 2--3, 636--649 (2007; Zbl 1125.15015) Full Text: DOI
Mukaidani, Hiroaki Efficient numerical procedures for solving closed-loop Stackelberg strategies with small singular perturbation parameter. (English) Zbl 1130.93383 Appl. Math. Comput. 188, No. 2, 1173-1183 (2007). MSC: 93C70 93C05 91A65 90C53 PDFBibTeX XMLCite \textit{H. Mukaidani}, Appl. Math. Comput. 188, No. 2, 1173--1183 (2007; Zbl 1130.93383) Full Text: DOI Link
Flåm, Sjur Didrik Repeated play and Newton’s method. (English) Zbl 1064.91501 Int. Game Theory Rev. 2, No. 2-3, 141-154 (2000). Reviewer: Florica Luban (Bucureşti) MSC: 91A20 65H10 91A10 PDFBibTeX XMLCite \textit{S. D. Flåm}, Int. Game Theory Rev. 2, No. 2--3, 141--154 (2000; Zbl 1064.91501) Full Text: DOI
Taji, Kouichi; Fukushima, Masao; Ibaraki, Toshihide A globally convergent Newton method for solving strongly monotone variational inequalities. (English) Zbl 0792.49007 Math. Program. 58, No. 3 (A), 369-383 (1993). Reviewer: M.A.Noor (Riyadh) MSC: 49J40 49M15 90C20 91B50 90-08 65K10 PDFBibTeX XMLCite \textit{K. Taji} et al., Math. Program. 58, No. 3 (A), 369--383 (1993; Zbl 0792.49007) Full Text: DOI
Filar, Jerzy A.; Tolwinski, Boleslaw On the algorithm of Pollatschek and Avi-Itzhak. (English) Zbl 0748.90090 Stochastic games and related topics. In honor of Prof. L. S. Shapley, Proc. Workshop, Chicago/IL (USA) 1987, Theory Decis. Libr., Ser. C 7, 59-70 (1991). Reviewer: N.Novikova (Moskva) MSC: 91A15 90-08 PDFBibTeX XMLCite \textit{J. A. Filar} and \textit{B. Tolwinski}, in: Stochastic games -- an overview. . 59--70 (1991; Zbl 0748.90090)
Goldsman, Lynne; Harker, Patrick T. A note on solving general equilibrium problems with variational inequality techniques. (English) Zbl 0711.90012 Oper. Res. Lett. 9, No. 5, 335-339 (1990). MSC: 91B50 90-08 90C33 90C90 49J40 90C30 PDFBibTeX XMLCite \textit{L. Goldsman} and \textit{P. T. Harker}, Oper. Res. Lett. 9, No. 5, 335--339 (1990; Zbl 0711.90012) Full Text: DOI