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Bernd Heidergott

Research Fellow

Vrije Universiteit Amsterdam
Research field
Mathematical Methods

List of publications

Volk-Makarewicz, W., Borovkova, S. and Heidergott, B. (2021). Assessing the impact of jumps in an option pricing model: A gradient estimation approach European Journal of Operational Research, 298(2):740--751.

Peng, Y., Fu, MichaelC., Heidergott, B. and Lam, H. (2020). Maximum likelihood estimation by monte carlo simulation: Toward data-driven stochastic modeling Operations Research, 68(6):1896--1912.

Berkhout, J. and Heidergott, BerndF. (2019). Analysis of Markov influence graphs Operations Research, 67(3):892--904.

Peng, Y., Fu, MichaelC., Hu, J.Q. and Heidergott, B. (2018). A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters Operations Research, 66(2):487--499.

Heidergott, B. and Volk-Makarewicz, W. (2016). A measure-valued differentiation approach to sensitivities of quantiles Mathematics of Operations Research, 41(1):293--317.

Goverde, R., Heidergott, B. and Merlet, G. (2011). A coupling approach to estimating the Lyapunov exponent of stochastic max-plus linear systems European Journal of Operational Research, 210(2):249--257.

Heidergott, B., Hordijk, A. and Leder, N. (2010). An approximation approach for the deviation matrix of continuous-time Markov processes with application to Markov decision theory Operations Research, 58:918--932.

Heidergott, B., Hordijk, A. and Leder, N. (2010). Series expansions for continuous-time Markov chains Operations Research, 58:756--767.

Heidergott, B. and Leahu, H. (2010). Weak differentiability of product measures Mathematics of Operations Research, 35:27--51.

Heidergott, B. and Farenhorst - Yuan, T. (2010). Gradient estimation for multicomponent maintenance systems with age-replacement policy Operations Research, 58:706--718.

Heidergott, B., Vazquez-Abad, F. and Volk Makarewicz, W.M. (2008). Sensitivity Estimation for Gaussian Systems European Journal of Operational Research, 187:193--207.

Heidergott, B., Hordijk, A. and Weisshaupt, H. (2006). Measure-valued differentiation for stationary Markov chains Mathematics of Operations Research, 31:154--172.

Heidergott, B., de Kort, A. and Ayhan, H. (2003). A probabilistic approach for determining railway infrastructure capacity European Journal of Operational Research, 148:644--661.

Heidergott, B. (2001). A differential calculus for random matrices with applications to (max,+)-linear stochastic systems Mathematics of Operations Research, 26(4):679--699.

Heidergott, B. (1999). Optimization of a single-component maintenance system: a smoothed perturbation analysis approach European Journal of Operational Research, :181--190.