Jaimungal, Sebastian; Pesenti, Silvana M.; Sánchez-Betancourt, Leandro Minimal Kullback-Leibler divergence for constrained Lévy-Itô processes. (English) Zbl 07824418 SIAM J. Control Optim. 62, No. 2, 982-1005 (2024). MSC: 60G51 90C39 PDFBibTeX XMLCite \textit{S. Jaimungal} et al., SIAM J. Control Optim. 62, No. 2, 982--1005 (2024; Zbl 07824418) Full Text: DOI arXiv
Yoshioka, Hidekazu; Tanaka, Tomohiro; Yoshioka, Yumi; Hashiguchi, Ayumi; Aranishi, Futoshi CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process. (English) Zbl 07766660 Optim. Eng. 24, No. 4, 2935-2972 (2023). MSC: 91B76 91G70 90C25 PDFBibTeX XMLCite \textit{H. Yoshioka} et al., Optim. Eng. 24, No. 4, 2935--2972 (2023; Zbl 07766660) Full Text: DOI
Park, Jangho; Bayraksan, Güzin A multistage distributionally robust optimization approach to water allocation under climate uncertainty. (English) Zbl 07705429 Eur. J. Oper. Res. 306, No. 2, 849-871 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{J. Park} and \textit{G. Bayraksan}, Eur. J. Oper. Res. 306, No. 2, 849--871 (2023; Zbl 07705429) Full Text: DOI arXiv
Birghila, Corina; Boonen, Tim J.; Ghossoub, Mario Optimal insurance under maxmin expected utility. (English) Zbl 1517.91187 Finance Stoch. 27, No. 2, 467-501 (2023). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 90C90 PDFBibTeX XMLCite \textit{C. Birghila} et al., Finance Stoch. 27, No. 2, 467--501 (2023; Zbl 1517.91187) Full Text: DOI arXiv
Birrell, Jeremiah; Dupuis, Paul; Katsoulakis, Markos A.; Pantazis, Yannis; Rey-Bellet, Luc \((f,\Gamma)\)-divergences: interpolating between \(f\)-divergences and integral probability metrics. (English) Zbl 07625192 J. Mach. Learn. Res. 23, Paper No. 39, 70 p. (2022). MSC: 68T05 PDFBibTeX XMLCite \textit{J. Birrell} et al., J. Mach. Learn. Res. 23, Paper No. 39, 70 p. (2022; Zbl 07625192) Full Text: arXiv Link
Kim, Sojung; Weber, Stefan Simulation methods for robust risk assessment and the distorted mix approach. (English) Zbl 1490.91249 Eur. J. Oper. Res. 298, No. 1, 380-398 (2022). MSC: 91G70 62P05 PDFBibTeX XMLCite \textit{S. Kim} and \textit{S. Weber}, Eur. J. Oper. Res. 298, No. 1, 380--398 (2022; Zbl 1490.91249) Full Text: DOI arXiv
Dupuis, Paul; Mao, Yixiang Formulation and properties of a divergence used to compare probability measures without absolute continuity. (English) Zbl 1478.60008 ESAIM, Control Optim. Calc. Var. 28, Paper No. 9, 38 p. (2022). MSC: 60A10 62B10 93E15 94A17 PDFBibTeX XMLCite \textit{P. Dupuis} and \textit{Y. Mao}, ESAIM, Control Optim. Calc. Var. 28, Paper No. 9, 38 p. (2022; Zbl 1478.60008) Full Text: DOI arXiv
Birrell, Jeremiah; Katsoulakis, Markos A.; Rey-Bellet, Luc Quantification of model uncertainty on path-space via goal-oriented relative entropy. (English) Zbl 1472.62042 ESAIM, Math. Model. Numer. Anal. 55, No. 1, 131-169 (2021). MSC: 62F35 62B10 60G40 60J60 60K20 93E20 91G20 94A17 PDFBibTeX XMLCite \textit{J. Birrell} et al., ESAIM, Math. Model. Numer. Anal. 55, No. 1, 131--169 (2021; Zbl 1472.62042) Full Text: DOI arXiv
Fauß, Michael; Zoubir, Abdelhak M.; Poor, H. Vincent Minimax optimal sequential hypothesis tests for Markov processes. (English) Zbl 1460.62131 Ann. Stat. 48, No. 5, 2599-2621 (2020). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 62L10 62C20 62F35 62M02 PDFBibTeX XMLCite \textit{M. Fauß} et al., Ann. Stat. 48, No. 5, 2599--2621 (2020; Zbl 1460.62131) Full Text: DOI arXiv Euclid
Jokhadze, Valeriane; Schmidt, Wolfgang M. Measuring model risk in financial risk management and pricing. (English) Zbl 1443.91342 Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050012, 37 p. (2020). MSC: 91G70 62F15 PDFBibTeX XMLCite \textit{V. Jokhadze} and \textit{W. M. Schmidt}, Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050012, 37 p. (2020; Zbl 1443.91342) Full Text: DOI
Blanchet, Jose; He, Fei; Murthy, Karthyek On distributionally robust extreme value analysis. (English) Zbl 1443.60051 Extremes 23, No. 2, 317-347 (2020). MSC: 60G70 62G32 PDFBibTeX XMLCite \textit{J. Blanchet} et al., Extremes 23, No. 2, 317--347 (2020; Zbl 1443.60051) Full Text: DOI arXiv
Birrell, Jeremiah; Rey-Bellet, Luc Uncertainty quantification for Markov processes via variational principles and functional inequalities. (English) Zbl 1501.47073 SIAM/ASA J. Uncertain. Quantif. 8, 539-572 (2020). Reviewer: Heinrich Hering (Rockenberg) MSC: 47D07 39B72 60F10 60J25 PDFBibTeX XMLCite \textit{J. Birrell} and \textit{L. Rey-Bellet}, SIAM/ASA J. Uncertain. Quantif. 8, 539--572 (2020; Zbl 1501.47073) Full Text: DOI arXiv
Kim, Sojung; Kim, Kyoung-Kuk; Ryu, Heelang Robust quantile estimation under bivariate extreme value models. (English) Zbl 1471.62355 Extremes 23, No. 1, 55-83 (2020). Reviewer: Dongsheng Tu (Kingston) MSC: 62G32 62G35 62G08 62H12 PDFBibTeX XMLCite \textit{S. Kim} et al., Extremes 23, No. 1, 55--83 (2020; Zbl 1471.62355) Full Text: DOI
Kruse, Thomas; Schneider, Judith C.; Schweizer, Nikolaus Technical note: The joint impact of \(F\)-divergences and reference models on the contents of uncertainty sets. (English) Zbl 1457.62146 Oper. Res. 67, No. 2, 428-435 (2019). MSC: 62G32 62G35 PDFBibTeX XMLCite \textit{T. Kruse} et al., Oper. Res. 67, No. 2, 428--435 (2019; Zbl 1457.62146) Full Text: DOI
Blanchet, Jose; Murthy, Karthyek Quantifying distributional model risk via optimal transport. (English) Zbl 1434.60113 Math. Oper. Res. 44, No. 2, 565-600 (2019). MSC: 60G07 60F99 62P05 PDFBibTeX XMLCite \textit{J. Blanchet} and \textit{K. Murthy}, Math. Oper. Res. 44, No. 2, 565--600 (2019; Zbl 1434.60113) Full Text: DOI arXiv
Fadina, Tolulope; Neufeld, Ariel; Schmidt, Thorsten Affine processes under parameter uncertainty. (English) Zbl 1443.91309 Probab. Uncertain. Quant. Risk 4, Paper No. 5, 35 p. (2019). MSC: 91G30 60G44 35Q91 PDFBibTeX XMLCite \textit{T. Fadina} et al., Probab. Uncertain. Quant. Risk 4, Paper No. 5, 35 p. (2019; Zbl 1443.91309) Full Text: DOI arXiv
Ahmadi-Javid, Amir; Fallah-Tafti, Malihe Portfolio optimization with entropic value-at-risk. (English) Zbl 1431.91349 Eur. J. Oper. Res. 279, No. 1, 225-241 (2019). MSC: 91G10 90C15 90C25 91G70 PDFBibTeX XMLCite \textit{A. Ahmadi-Javid} and \textit{M. Fallah-Tafti}, Eur. J. Oper. Res. 279, No. 1, 225--241 (2019; Zbl 1431.91349) Full Text: DOI arXiv
Blanchet, Jose; Lam, Henry; Tang, Qihe; Yuan, Zhongyi Robust actuarial risk analysis. (English) Zbl 1411.91266 N. Am. Actuar. J. 23, No. 1, 33-63 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{J. Blanchet} et al., N. Am. Actuar. J. 23, No. 1, 33--63 (2019; Zbl 1411.91266) Full Text: DOI
Penev, Spiridon; Shevchenko, Pavel V.; Wu, Wei The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. (English) Zbl 1403.91323 Eur. J. Oper. Res. 273, No. 2, 772-784 (2019). MSC: 91G10 62P05 90C39 PDFBibTeX XMLCite \textit{S. Penev} et al., Eur. J. Oper. Res. 273, No. 2, 772--784 (2019; Zbl 1403.91323) Full Text: DOI arXiv
Allahverdyan, Armen E.; Galstyan, Aram; Abbas, Ali E.; Struzik, Zbigniew R. Adaptive decision making via entropy minimization. (English) Zbl 1448.68438 Int. J. Approx. Reasoning 103, 270-287 (2018). MSC: 68T42 91B06 PDFBibTeX XMLCite \textit{A. E. Allahverdyan} et al., Int. J. Approx. Reasoning 103, 270--287 (2018; Zbl 1448.68438) Full Text: DOI arXiv
Tavin, Bertrand Measuring exposure to dependence risk with random Bernstein copula scenarios. (English) Zbl 1403.91200 Eur. J. Oper. Res. 270, No. 3, 873-888 (2018). MSC: 91B30 62H20 62P05 PDFBibTeX XMLCite \textit{B. Tavin}, Eur. J. Oper. Res. 270, No. 3, 873--888 (2018; Zbl 1403.91200) Full Text: DOI
Papayiannis, G. I.; Yannacopoulos, A. N. Numerical computation of convex risk measures. (English) Zbl 1404.91267 Ann. Oper. Res. 260, No. 1-2, 417-435 (2018). MSC: 91G60 91B30 49J45 PDFBibTeX XMLCite \textit{G. I. Papayiannis} and \textit{A. N. Yannacopoulos}, Ann. Oper. Res. 260, No. 1--2, 417--435 (2018; Zbl 1404.91267) Full Text: DOI
Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity. (English) Zbl 1376.91143 Eur. J. Oper. Res. 264, No. 2, 707-716 (2018). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{M. Brandtner} et al., Eur. J. Oper. Res. 264, No. 2, 707--716 (2018; Zbl 1376.91143) Full Text: DOI
Engelke, Sebastian; Ivanovs, Jevgenijs Robust bounds in multivariate extremes. (English) Zbl 1390.60189 Ann. Appl. Probab. 27, No. 6, 3706-3734 (2017). MSC: 60G70 62G32 62G35 PDFBibTeX XMLCite \textit{S. Engelke} and \textit{J. Ivanovs}, Ann. Appl. Probab. 27, No. 6, 3706--3734 (2017; Zbl 1390.60189) Full Text: DOI arXiv Euclid
Ahmadi-Javid, Amir; Pichler, Alois An analytical study of norms and Banach spaces induced by the entropic value-at-risk. (English) Zbl 1411.91632 Math. Financ. Econ. 11, No. 4, 527-550 (2017). MSC: 91G70 91G80 46E30 PDFBibTeX XMLCite \textit{A. Ahmadi-Javid} and \textit{A. Pichler}, Math. Financ. Econ. 11, No. 4, 527--550 (2017; Zbl 1411.91632) Full Text: DOI
Watson, J.; Nieto-Barajas, L.; Holmes, C. Characterizing variation of nonparametric random probability measures using the Kullback-Leibler divergence. (English) Zbl 1369.60033 Statistics 51, No. 3, 558-571 (2017). MSC: 60G57 62G05 62F15 PDFBibTeX XMLCite \textit{J. Watson} et al., Statistics 51, No. 3, 558--571 (2017; Zbl 1369.60033) Full Text: DOI arXiv
Detering, Nils; Packham, Natalie Model risk of contingent claims. (English) Zbl 1400.91659 Quant. Finance 16, No. 9, 1357-1374 (2016). MSC: 91G70 PDFBibTeX XMLCite \textit{N. Detering} and \textit{N. Packham}, Quant. Finance 16, No. 9, 1357--1374 (2016; Zbl 1400.91659) Full Text: DOI Link
Watson, James; Holmes, Chris Approximate models and robust decisions. (English) Zbl 1436.62027 Stat. Sci. 31, No. 4, 465-489 (2016). MSC: 62A01 62C05 62G35 62-08 62P05 PDFBibTeX XMLCite \textit{J. Watson} and \textit{C. Holmes}, Stat. Sci. 31, No. 4, 465--489 (2016; Zbl 1436.62027) Full Text: DOI arXiv Euclid
Postek, Krzysztof; den Hertog, Dick; Melenberg, Bertrand Computationally tractable counterparts of distributionally robust constraints on risk measures. (English) Zbl 1349.90767 SIAM Rev. 58, No. 4, 603-650 (2016). MSC: 90C30 90C25 PDFBibTeX XMLCite \textit{K. Postek} et al., SIAM Rev. 58, No. 4, 603--650 (2016; Zbl 1349.90767) Full Text: DOI Link