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127
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SIAMJO
2010
15 years 10 days ago
2010
When liquidating a portfolio of large blocks of risky assets, an institutional investor wants to minimize the cost as well as the risk of execution. An optimal execution strategy ...
190
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SIAMJO
2010
15 years 10 days ago
2010
Abstract. We propose a randomized method for general convex optimization problems; namely, the minimization of a linear function over a convex body. The idea is to generate N rando...
151
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SIAMNUM
2010
15 years 10 days ago
2010
In this paper we introduce a new class of diffeomorphic smoothers based on general spline smoothing techniques and on the use of some tools that have been recently developed in th...
193
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SIAMREV
2010
15 years 10 days ago
2010
In this paper we propose and analyze a Stochastic-Collocation method to solve elliptic Partial Differential Equations with random coefficients and forcing terms (input data of the...
168
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SIAMSC
2010
15 years 10 days ago
2010
In this paper, we outline two improvements to the fast sweeping method to improve the speed of the method in general and more specifically in cases where the speed is changing rapi...