This paper gives an algorithm for L-shaped linear programs which arise naturally in optimal control problems with state constraints and stochastic linear programs (which can be represented in this ...

Stochastic programming can effectively describe many decision-making problems in uncertain environments. Unfortunately, such programs are often computationally demanding to solve. In addition, their ...

Backward Stochastic Differential Equations (BSDEs) constitute a powerful framework where the solution is determined by a terminal condition and then propagated backwards in time. This innovative ...

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We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to ...