The pooling problem, which is fundamental to the petroleum industry, describes a situation where products possessing different attribute qualities are mixed...

Call and put options embedded in bonds are of American-style, and cannot be priced in a closed-form. In this paper, we formulate the problem of pricing thes...

Although airlines plan aircraft routes and crew schedules in advance, perturbations occur everyday. As a result, flight schedules may become infeasible and ...

This paper exposes in voluntarily simple terms the concept of <i>S</i>-adapted equilibrium introduced to represent and compute economic equilibria on stocha...

Ce papier présente une nouvelle procédure de classification, appelée PROCFTN, basée sur le domaine de l'aide multicritère à la décision. Le principe général...

The aim of this paper is to provide a concise portrayal of medical applications of a new fuzzy classification method called PROAFTN, which uses a multicrite...

Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for w...

A hedger of a contingent claim may decide to partially replicate on some states of nature and not on the others: A partial hedge initially costs less than a...

In recent years, several advances have been made towards the solution of stochastic vehicle routing problems (SVRPs). In particular, the Integer <i>L</i>-Sh...

Optimal control problems for linear stochastic continuous time systems are considered, where the time domain is decomposed into a finite set of <i>N</i> dis...

In this work, we examine how to combine the score function method with the standard crude Monte Carlo and experimental design approaches, in order to evalua...

The stochastic linear programming problem with recourse has a dual block angular structure. It can thus be handled by Benders decomposition or by Kelley's m...

This paper presents the first experiments undertaken with a stochastic programming model of gas contract portfolio management. This model is intended to be ...

This paper deals with a stochastic programming model which complements long range market simulation models such as those currently developed by several gas ...

A notion of Nash equilibrium, called event-adapted equilibrium, is defined for non-cooperative, multi-stage games where uncertainty is gradually resolved. ...

In this paper we develop a stochastic, dynamic network equilibrium model of airline passenger transportation. The model explicitly incorporates the behavior...

This paper addresses the question of determining an optimal mix of gas contracts for a producer supplying the North American gas market. We first propose a ...

In this paper, we present general formulations for the stochastic vehicle routing problem with capacity restrictions in which the <i>m</i> vehicle tours hav...

This paper describes a family of stochastic location-routing problems which consist of simultaneously locating a depot among a set of potential sites, of det...

A model is presented for looking at the main characteristics of long term gas contracts. The problem is formulated as a dynamic stochastic multimarket model...