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Cash management using multi-stage stochastic programming - MaRDI portal

Cash management using multi-stage stochastic programming (Q5190135)

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scientific article; zbMATH DE number 5681143
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English
Cash management using multi-stage stochastic programming
scientific article; zbMATH DE number 5681143

    Statements

    title
    Cash management using multi-stage stochastic programming (English)
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    author
    Robert Ferstl
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    Alex Weissensteiner
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    publication date
    12 March 2010
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    zbMATH Keywords
    dynamic stochastic programming
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    stochastic linear programming
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    cash management
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    market price of risk
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    change of measure
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    scenario generation
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    Identifiers

    Mathematics Subject Classification ID
    91G50
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    90C15
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    90C05
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    zbMATH DE Number
    5681143
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    OpenAlex ID
    W3125931943
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