There are few systematic methodologies capable of predicting and managing the potential of large populations of appliances working as aggregated reserve reso...

We introduce an efficient approach to evaluate counterparty risk and compute the Credit Value Adjustement for derivatives having early exercise features. The...

In this paper, we suggest a new approach called the <i>return function</i> to deal with the determination of Bayesian-Nash equilibria in games of incomplet...

The <b>VRPTW-ST</b> introduced by Errico et al. (2013) in the form of a chance-constrained model mainly differs from other vehicle routing problems with st...

We propose an efficient heuristic method based on Space Partitioning (SP) and Tabu Search (TS) to solve the buffer sizing problem in unreliable production li...

An unreliable single part type transfer line with fixed inter machine buffer sizes is considered. In general, imperfect machines operating with imperfect raw...

Since its inception, stochastic Data Envelopment Analysis (DEA) has found many applications. The approach commonly taken in stochastic DEA is via chance cons...

We consider a class of dynamic games played over an event tree, where the players cooperate to optimize their expected joint payoff. Assuming that the pla...

This article deals with the general theory of games played over uncontrolled event trees, i.e., games where the transition from one node to another is natu...

It is increasingly important to provide the relevant data for strategic decisions related to oil production and the marketing of oil products. We propose the...

This paper proposes a state-of-the-art branch-cut-and-price algorithm for the vehicle routing problem with stochastic demands (VRPSD). We adapt the model of ...

This paper proposes a heuristic approach based on network flow techniques to schedule the production in open-pit mines, while accounting for metal uncertaint...

We design and implement a dynamic program (DP) for valuing corporate securities, seen as derivatives on a firm's assets, and computing the term structure o...

In this paper we consider the vehicle routing problem with hard time windows and stochastic service times (VRPTW-ST); in this variant of the classic VRPTW ...

We propose a new numerical method for evaluating long-maturity American put options. Most existing numerical approaches are based on the time discretization...

We propose a stochastic dynamic program for valuing options on stock-index futures. The model accounts for deterministic, seasonally varying dividends gene...

In this paper we introduce the discrete time window assignment vehicle routing problem. This problem consists of assigning a single time window from a ...

The aim of this paper is to compute upper and lower bounds for convex value functions of derivative contracts. Laprise et al. (2006) compute bounds for Ame...

The production routing problem (PRP) concerns the production and distribution of a single product from a production plant to multiple customers using capacit...

In this paper, we provide a decomposition over time of Shapley value for dynamic stochastic discrete-time games, where the uncertainty is described by an eve...