Matrix equations, particularly those with structures such as Toeplitz or quasi-Toeplitz, emerge naturally when characterising the evolution and equilibrium properties of Markov models.

We employ a stochastic programming approach to solve these problems, which has advantages over other methods and captures the underlying institutional structure of the sidecar. We detail the method ...

The problem is solved using a multi-stage stochastic linear programming (SLP) model to generalize the closed-form solution obtained by Richard (1975). We account for aspects of the application of the ...