JSTOR Daily

Polynomial-Time Approximation Schemes for Maximizing Gross Substitutes Utility Under Budget Constraints

We consider the maximization of a gross substitutes utility function under budget constraints. This problem naturally arises in applications such as exchange economies in mathematical economics and ...
JSTOR Daily

Discretization and Validation of the Continuum Approximation Scheme for Terminal System Design

This paper proposes an algorithm that automatically translates the "continuum approximation" (CA) recipes for location problems into discrete designs. It applies to terminal systems, but can also be ...
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Pricing high-dimensional Bermudan options using deep learning and higher-order weak approximation

This paper proposes a new deep-learning-based algorithm for high-dimensional Bermudan option pricing. To the best of our knowledge, this is the first study of the arbitrary-order discretization scheme ...
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Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models

Two essential quantities for the analysis of approximation schemes of evolution equations are stability and convergence. We derive stability and convergence of fully discrete approximation schemes of ...