Abstract. We present an iterative procedure for computing the optimal Bermudan stopping time, hence the Bermudan Snell envelope. The method produces an increasing sequence of appro...
In this paper, we derive optimal bidding strategies for a global bidder who participates in multiple, simultaneous second-price auctions with perfect substitutes. We first conside...
Enrico H. Gerding, Rajdeep K. Dash, David C. K. Yu...
Network applications require a certain level of network performance for their proper operation. These individual guarantees can be provided if su cient amounts of network resource...
Thefocus of this workis the computationof efficient strategies for commoditytrading in a multi-marketenvironment. In today's "global economy"commodities are often b...
Milos Hauskrecht, Luis E. Ortiz, Ioannis Tsochanta...
— This paper studies an auction based allocation of network resources for short-term contracts for heterogeneous network services. The combinatorial winner selection yields the o...