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...