Optimisation of stochastic programming by hidden Markov modelling based scenario generation

International Journal of Mathematics in Operational Research

Volumn 2, Issue 4, 2010, Pages 436-455

  Mitra, Sovan ^a   Ji, Tong ^a  

^a BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

Autoregression; Financial mathematics; Gaussian mixture; Jumps; Kurtosis; Markov processes; Optimisation; Risk analysis; Risk management; Robustness analysis; Scenario analysis; Scenario generation; Skewness; Stochastic programming; Time varying dynamics

Indexed keywords

EID: 84861408426     PISSN: 17575850     EISSN: 17575869     Source Type: Journal    
DOI: 10.1504/IJMOR.2010.033439     Document Type: Article

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