论文信息 - Event tree based sampling

Event tree based sampling

We develop a new sampling method, called an event tree-based sampling, which is suitable for the multistage stochastic programming formulation for the asset liability management. We find that our method captures a special structure inherited in the binomial lattice representation of an event tree, which is the essential part of the stochastic formulation of asset liability management under uncertainty.

Joocheol Kim | Joocheol Kim

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