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FS
2006
84views more  FS 2006»
14 years 11 months ago
Iterative construction of the optimal Bermudan stopping time
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...
Anastasia Kolodko, John Schoenmakers
73
Voted
DAGSTUHL
2006
15 years 15 days ago
Optimal Bidding Strategies for Simultaneous Vickrey Auctions with Perfect Substitutes
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...
ICNP
1998
IEEE
15 years 3 months ago
Distributed Network Flow Control based on Dynamic Competitive Markets
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...
Errin W. Fulp, Douglas S. Reeves
AIPS
2000
15 years 14 days ago
Computing Global Strategies for Multi-Market Commodity Trading
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...
GLOBECOM
2009
IEEE
15 years 5 months ago
A Participation Incentive Market Mechanism for Allocating Heterogeneous Network Services
— 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...
Juong-Sik Lee, Boleslaw K. Szymanski