Edit Profile (opens in new tab) Pflug, Georg Ch. Compute Distance To: Compute Author ID: pflug.georg-ch Published as: Pflug, Georg Ch.; Pflug, Georg; Pflug, G. Ch.; Pflug, Georg C.; Pflug, G.; Pflug, G. C. more...less External Links: MGP · ORCID · Wikidata · GND · IdRef Documents Indexed: 126 Publications since 1976, including 5 Books 14 Contributions as Editor Co-Authors: 77 Co-Authors with 90 Joint Publications 1,541 Co-Co-Authors all top 5 Co-Authors 44 single-authored 9 Pichler, Alois 7 Hochreiter, Ronald 5 Gutjahr, Walter J. 5 Kaniovski, Yuri M. 4 Futschik, Andreas 4 Glanzer, Martin 4 Ruszczyński, Andrzej 4 Świȩtanowski, Artur 4 Wozabal, David 3 Boreiko, Dmitri V. 3 Escobar, Debora Daniela 3 Grossmann, Wilfried 3 Kovacevic, Raimund M. 3 Maggioni, Francesca 3 Schultz, Rüdiger 2 Bomze, Immanuel M. 2 Dempster, Michael A. H. 2 Ermoliev, Yuri M. 2 Guzmics, Sándor 2 Halada, Ladislav 2 Heidergott, Bernd F. 2 Marti, Kurt 2 Mitra, Gautam 2 Tragler, Gernot 2 Van Ackooij, Wim 2 Wertz, Wolfgang 1 Analui, Bita 1 Anisimov, Vladimir Vladislavovič 1 Birghila, Corina 1 Bochynek, Jürgen 1 Broussev, Nikola 1 Consigli, Giorgio 1 De Loera, Jesús A. 1 Dentcheva, Darinka 1 Dieter, Ulrich 1 Dockner, Engelbert J. 1 Doerner, Karl Franz 1 Dörner, Karl F. 1 Farenhorst-Yuan, Taoying 1 Gabl, Markus 1 Geiersbach, Caroline 1 Hartl, Richard F. 1 Hellmayr, A. 1 Hochrainer-Stigler, Stefan 1 Hochrainer, Stefan 1 Kaniovski, Serguei Yu. 1 Kilianová, Soňa 1 Leahu, Haralambie 1 Leopold-Wildburger, Ulrike 1 Ljubić, Ivana 1 Ljung, Lennart 1 Löpker, Andreas H. 1 Maier, Sebastian 1 Makowski, Marek S. 1 Mirkov, Radoslava 1 Moriggia, Vittorio 1 Moritsch, Hans 1 Muhammad, Yousaf Shad 1 Müller, Alfred 1 Norkin, Vladimir I. 1 Pohl, Mathias 1 Polak, John W. 1 Rauner, Marion Sabine 1 Römisch, Werner 1 Rubinstein, Reuven Y. 1 Schachermayer, Walter 1 Schaller, Peter 1 Stummer, Christian 1 Thoma, Philipp 1 Timonina-Farkas, Anna 1 Vázquez-Abad, Felisa J. 1 Vincze, István 1 Wakolbinger, Tina 1 Walk, Harro 1 Weisshaupt, Heinz 1 Wets, Roger Jean-Baptiste 1 Winckler, Georg 1 Wozabal, Nancy all top 5 Serials 9 Annals of Operations Research 8 European Journal of Operational Research 8 SIAM Journal on Optimization 4 Mathematics of Operations Research 4 Mathematical Programming. Series A. Series B 4 Computational Optimization and Applications 4 CEJOR. Central European Journal of Operations Research 4 Computational Management Science 3 Insurance Mathematics & Economics 3 Statistics & Decisions 3 Quantitative Finance 3 Lecture Notes in Economics and Mathematical Systems 2 Statistics & Probability Letters 2 Communications in Statistics. Stochastic Models 2 Optimization 2 Stochastic Processes and their Applications 2 Dependence Modeling 1 Advances in Applied Probability 1 Metrika 1 Scandinavian Journal of Statistics 1 Computing 1 Control and Cybernetics 1 Journal of Applied Probability 1 Journal of Multivariate Analysis 1 Journal of Statistical Planning and Inference 1 Mathematische Operationsforschung und Statistik. Series Statistics 1 Monatshefte für Mathematik 1 Sitzungsberichte. Abteilung II. Österreichische Akademie der Wissenschaften, Mathematisch-Naturwissenschaftliche Klasse 1 SIAM Journal on Control and Optimization 1 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 1 Journal of Information & Optimization Sciences 1 Rivista di Matematica per le Scienze Economiche e Sociali 1 Parallel Computing 1 Graphs and Combinatorics 1 Internationale Mathematische Nachrichten 1 Journal of Global Optimization 1 Communications in Statistics. Theory and Methods 1 Zeitschrift für Operations Research. Serie B: Praxis 1 RAIRO. Informatique Théorique et Applications 1 Computational Economics 1 Central European Journal for Operations Research and Economics (CEJORE) 1 Annals of Mathematics and Artificial Intelligence 1 Bernoulli 1 ACM Transactions on Modeling and Computer Simulation 1 Journal of Nonparametric Statistics 1 Finance and Stochastics 1 Séminaire Lotharingien de Combinatoire 1 Mathematical Methods of Operations Research 1 Australian & New Zealand Journal of Statistics 1 International Journal of Theoretical and Applied Finance 1 Czechoslovak Journal for Operations Research 1 Stochastic Models 1 IMA Journal of Management Mathematics 1 Oberwolfach Reports 1 DMV Seminar 1 The Kluwer International Series in Engineering and Computer Science 1 Set-Valued and Variational Analysis 1 Springer Series in Operations Research and Financial Engineering 1 Chapman & Hall/CRC Financial Mathematics Series 1 Operations Research Proceedings all top 5 Fields 71 Operations research, mathematical programming (90-XX) 45 Statistics (62-XX) 41 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 36 Probability theory and stochastic processes (60-XX) 14 General and overarching topics; collections (00-XX) 12 Numerical analysis (65-XX) 6 Systems theory; control (93-XX) 4 Computer science (68-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 2 Combinatorics (05-XX) 2 Convex and discrete geometry (52-XX) 1 History and biography (01-XX) 1 Measure and integration (28-XX) 1 Partial differential equations (35-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 91 Publications have been cited 1,095 times in 853 Documents Cited by ▼ Year ▼ Some remarks on the value-at-risk and the conditional value-at-risk. Zbl 0994.91031Pflug, Georg Ch. 149 2000 Modeling, measuring and managing risk. Zbl 1153.91023Pflug, Georg Ch.; Römisch, Werner 107 2007 Scenario tree generation for multiperiod financial optimization of optimal discretization. Zbl 0987.91034Pflug, G. Ch. 92 2001 Ambiguity in portfolio selection. Zbl 1190.91138Pflug, Georg; Wozabal, David 75 2007 A branch and bound method for stochastic global optimization. Zbl 0920.90111Norkin, Vladimir I.; Pflug, Georg Ch.; Ruszczyński, Andrzej 54 1998 Multistage stochastic optimization. Zbl 1317.90220Pflug, Georg Ch.; Pichler, Alois 54 2014 Stochastic approximation and optimization of random systems. Zbl 0747.62090Ljung, Lennart; Pflug, Georg; Walk, Harro 49 1992 Optimization of stochastic models. The interface between simulation and optimization. Zbl 0909.90220Pflug, Georg Ch. 43 1996 Financial scenario generation for stochastic multi-stage decision processes as facility location problems. Zbl 1144.90442Hochreiter, Ronald; Pflug, Georg Ch. 43 2007 A distance for multistage stochastic optimization models. Zbl 1262.90118Pflug, Georg Ch.; Pichler, Alois 33 2012 Version-independence and nested distributions in multistage stochastic optimization. Zbl 1198.90307Pflug, G. Ch. 31 2009 Simulated annealing for noisy cost functions. Zbl 0857.90095Gutjahr, Walter J.; Pflug, Georg Ch. 24 1996 Dynamic generation of scenario trees. Zbl 1337.90047Pflug, Georg Ch.; Pichler, Alois 21 2015 Time-inconsistent multistage stochastic programs: martingale bounds. Zbl 1346.90646Pflug, Georg Ch.; Pichler, Alois 21 2016 Asymptotic ruin probabilities for risk processes with dependent increments. Zbl 1055.91055Müller, Alfred; Pflug, Georg 20 2001 On-line optimization of simulated Markovian processes. Zbl 0726.90088Pflug, G. Ch. 20 1990 Bounds and approximations for multistage stochastic programs. Zbl 1333.90084Maggioni, Francesca; Pflug, Georg C. 18 2016 Time-consistent decisions and temporal decomposition of coherent risk functionals. Zbl 1338.90286Pflug, Georg Ch.; Pichler, Alois 18 2016 Subdifferential representations of risk measures. Zbl 1138.91505Pflug, Georg Ch. 18 2006 Measuring risk for income streams. Zbl 1085.90041Pflug, Georg Ch.; Ruszczyński, Andrzej 17 2005 Time consistency and information monotonicity of multiperiod acceptability functionals. Zbl 1185.91094Kovacevic, Raimund; Pflug, Georg Ch. 15 2009 Approximations for probability distributions and stochastic optimization problems. Zbl 1405.90093Pflug, Georg Ch.; Pichler, Alois 14 2011 A difference of convex formulation of value-at-risk constrained optimization. Zbl 1196.90088Wozabal, David; Hochreiter, Ronald; Pflug, Georg Ch. 14 2010 Projected stochastic gradients for convex constrained problems in Hilbert spaces. Zbl 1426.62238Geiersbach, Caroline; Pflug, Georg Ch. 14 2019 From empirical observations to tree models for stochastic optimization: convergence properties. Zbl 1346.90645Pflug, Georg Ch.; Pichler, Alois 13 2016 Gradient estimation for discrete-event systems by measure-valued differentiation. Zbl 1384.90097Heidergott, Bernd; Vázquez-Abad, Felisa J.; Pflug, Georg; Farenhorst-Yuan, Taoying 13 2010 Probability gradient estimation by set-valued calculus and applications in network design. Zbl 1114.90079Pflug, Georg Ch.; Weisshaupt, Heinz 12 2005 On distributionally robust multiperiod stochastic optimization. Zbl 1328.90089Analui, Bita; Pflug, Georg Ch. 11 2014 Asymptotic stochastic programs. Zbl 0847.90107Pflug, Georg Ch. 10 1995 On distortion functionals. Zbl 1186.91125Pflug, Georg Ch. 10 2006 Electricity swing options: behavioral models and pricing. Zbl 1176.90445Pflug, Georg C.; Broussev, Nikola 10 2009 Asymptotic distribution of law-invariant risk functionals. Zbl 1226.91070Pflug, Georg; Wozabal, Nancy 9 2010 A statistically important Gaussian process. Zbl 0487.60040Pflug, Georg 9 1982 Sampling derivatives of probabilities. Zbl 0677.65001Pflug, G. Ch. 9 1989 The limiting log-likelihood process for discontinuous density families. Zbl 0525.62034Pflug, Georg Ch. 8 1983 Optimal stochastic single-machine-tardiness scheduling by stochastic branch-and-bound. Zbl 0998.90040Gutjahr, W. J.; Hellmayr, A.; Pflug, G. Ch. 8 1999 Stochastic minimization with constant step-size: Asymptotic laws. Zbl 0594.90089Pflug, Georg Ch. 8 1986 Tree approximations of dynamic stochastic programs. Zbl 1211.90150Mirkov, Radoslava; Pflug, Georg Ch. 8 2007 Asymptotic dominance and confidence for solutions of stochastic programs. Zbl 1015.90511Pflug, Georg Ch. 8 1992 Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches. Zbl 1304.91218Kovacevic, Raimund M.; Pflug, Georg C. 8 2014 Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs. Zbl 1411.90241Maggioni, Francesca; Pflug, Georg Ch. 8 2019 Optimal pension fund management under multi-period risk minimization. Zbl 1163.91409Kilianová, Soňa; Pflug, Georg Ch. 7 2009 Gradient estimates for the performance of Markov chains and discrete event processes. Zbl 0766.60088Pflug, G. Ch. 6 1992 A review on ambiguity in stochastic portfolio optimization. Zbl 1416.90026Pflug, Georg Ch.; Pohl, Mathias 6 2018 Dynamic asset allocation under uncertainty for pension fund management. Zbl 0972.91039Pflug, Georg Ch.; Świȩtanowski, A. 6 1999 Stochastic programs and statistical data. Zbl 0919.90118Pflug, Georg Ch. 6 1999 Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties. Zbl 1441.91088Maier, Sebastian; Pflug, Georg C.; Polak, John W. 5 2020 On the Glivenko-Cantelli problem in stochastic programming: Linear recourse and extensions. Zbl 0977.90031Pflug, Georg Ch.; Ruszczyński, Andrzej; Schultz, Rüdiger 5 1998 Stepsize rules, stopping times and their implementation in stochastic quasigradient algorithms. Zbl 0663.90064Pflug, G. Ch. 5 1988 Incorporating statistical model error into the calculation of acceptability prices of contingent claims. Zbl 1421.90095Glanzer, Martin; Pflug, Georg Ch.; Pichler, Alois 5 2019 Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size. Zbl 0716.62081Pflug, Georg Ch. 5 1990 Incorporating model uncertainty into optimal insurance contract design. Zbl 1416.91216Pflug, Georg Ch.; Timonina-Farkas, Anna; Hochrainer-Stigler, Stefan 5 2017 The asymptotic contour process of a binary tree is a Brownian excursion. Zbl 0757.60074Gutjahr, W.; Pflug, G. Ch. 4 1992 The asymptotic distribution of leaf heights in binary trees. Zbl 0772.05034Gutjahr, W.; Pflug, G. C. 4 1992 Perturbation analysis of inhomogeneous finite Markov chains. Zbl 1337.60181Heidergott, Bernd; Leahu, Haralambie; Löpker, Andreas; Pflug, Georg 4 2016 Asset-liability optimization for pension fund management. Zbl 1015.90059Pflug, G. Ch.; Świȩtanowski, A. 4 2000 The AURORA financial management system: Model and parallel implementation design. Zbl 0990.90053Pflug, G. Ch.; Swietanowski, A.; Dockner, E.; Moritsch, H. 4 2000 Systemic risk and copula models. Zbl 1397.91609Pflug, Georg Ch.; Pichler, Alois 4 2018 Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence. Zbl 1358.90169Boreiko, D. V.; Kaniovski, Y. M.; Pflug, G. Ch. 3 2016 Searching for the best: Stochastic approximation, simulated annealing and related procedures. Zbl 0857.93103Pflug, Georg 3 1996 Derivatives of probability measures - concepts and applications to the optimization of stochastic systems. Zbl 0642.93070Pflug, Georg Ch. 3 1988 Quantitative fund management. Zbl 1152.91004 3 2009 Optimal XL-insurance under Wasserstein-type ambiguity. Zbl 1425.91213Birghila, Corina; Pflug, Georg Ch. 3 2019 Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. Zbl 1223.90084Hochreiter, R.; Pflug, G. Ch.; Wozabal, D. 3 2006 The limiting common distribution of two leaf heights in a random binary tree. Zbl 0764.68020Gutjahr, W.; Pflug, G. Ch. 2 1992 Modelling cascading effects for systemic risk: properties of the Freund copula. Zbl 1448.60033Guzmics, Sándor; Pflug, Georg Ch. 2 2019 The distortion principle for insurance pricing: properties, identification and robustness. Zbl 1455.91220Escobar, Debora Daniela; Pflug, Georg Ch. 2 2020 How to measure risk? Zbl 1082.91545Pflug, Georg Ch. 2 1999 Confidence sets for discrete stochastic optimization. Zbl 0837.90096Futschik, A.; Pflug, G. 2 1995 Risk-reshaping contracts and stochastic optimization. Zbl 0958.91034Pflug, Georg Ch. 2 1997 Dynamic stochastic optimization. Selected papers presented at the IFIP / IIASA / GAMM-workshop on “Dynamic stochastic optimization”, Laxenburg, Austria, March 11–14, 2002. Zbl 1024.00075 2 2004 Some remarks on stochastic approximation. Zbl 0423.62066Pflug, G. 2 1978 Inventory processes: Quasi-regenerative property, performance evaluation, and sensitvity estimation via simulation. Zbl 1030.90004Pflug, Georg; Rubinstein, Reuven Y. 2 2002 A note on the recursive and parallel structure of the Birge and Qi factorization for tree structured linear programs. Zbl 1094.90027Pflug, Georg Ch.; Halada, Ladislav 2 2003 Shape-restricted nonparametric regression with overall noisy measurements. Zbl 1297.62092Pflug, Georg Ch.; Wets, Roger J.-B. 2 2013 Optimal allocation of simulation experiments in discrete stochastic optimization and approximative algorithms. Zbl 0929.90061Futschik, A.; Pflug, G. Ch. 1 1997 Multiscale stochastic optimization: modeling aspects and scenario generation. Zbl 1432.90094Glanzer, Martin; Pflug, Georg Ch. 1 2020 Distributionally robust optimization with multiple time scales: valuation of a thermal power plant. Zbl 07304214van Ackooij, Wim; Escobar, Debora Daniela; Glanzer, Martin; Pflug, Georg Ch. 1 2020 Ambiguity in portfolio selection. Zbl 1180.91272Pflug, Georg; Wozabal, David 1 2009 Non-standard limit theorems for urn models and stochastic approximation procedures. Zbl 0823.62068Kaniovski, Yu.; Pflug, G. 1 1995 The degree of regularity is not estimable. Zbl 0554.62026Pflug, G. Ch. 1 1984 On sequential classification. Zbl 0365.62062Pflug, G. 1 1976 Stetige stochastische Approximation. Zbl 0418.62066Pflug, G. 1 1979 Average execution times of series-parallel networks. Zbl 0990.68501Gutjahr, W. J.; Pflug, G. Ch. 1 1992 The likelihood ratio test for simple tree order: A useful asymptotic expansion. Zbl 0937.62030Futschik, Andreas; Pflug, Georg Ch. 1 1998 Sequences of experiments admitting adaptive estimation. Zbl 0686.62018Grossmann, W.; Pflug, G. Ch. 1 1988 Recursive estimation in the ”almost smooth” case. Zbl 0469.62032Pflug, G. 1 1981 Selected parallel optimization methods for financial management under uncertainty. Zbl 1045.91506Pflug, G. Ch.; Świȩtanowski, A. 1 2000 Polynomial algorithms for pricing path-dependent interest rate instruments. Zbl 1153.91508Hochreiter, Ronald; Pflug, Georg Ch. 1 2006 Coping with uncertainty. Modeling and policy issues. Selected papers based on the presentations at the workshop ‘Coping with uncertainty’, Laxenburg, Austria, December 13–16,2004. Zbl 1097.93003 1 2006 The value of perfect information as a risk measure. Zbl 1190.91076Pflug, Georg Ch. 1 2004 Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties. Zbl 1441.91088Maier, Sebastian; Pflug, Georg C.; Polak, John W. 5 2020 The distortion principle for insurance pricing: properties, identification and robustness. Zbl 1455.91220Escobar, Debora Daniela; Pflug, Georg Ch. 2 2020 Multiscale stochastic optimization: modeling aspects and scenario generation. Zbl 1432.90094Glanzer, Martin; Pflug, Georg Ch. 1 2020 Distributionally robust optimization with multiple time scales: valuation of a thermal power plant. Zbl 07304214van Ackooij, Wim; Escobar, Debora Daniela; Glanzer, Martin; Pflug, Georg Ch. 1 2020 Projected stochastic gradients for convex constrained problems in Hilbert spaces. Zbl 1426.62238Geiersbach, Caroline; Pflug, Georg Ch. 14 2019 Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs. Zbl 1411.90241Maggioni, Francesca; Pflug, Georg Ch. 8 2019 Incorporating statistical model error into the calculation of acceptability prices of contingent claims. Zbl 1421.90095Glanzer, Martin; Pflug, Georg Ch.; Pichler, Alois 5 2019 Optimal XL-insurance under Wasserstein-type ambiguity. Zbl 1425.91213Birghila, Corina; Pflug, Georg Ch. 3 2019 Modelling cascading effects for systemic risk: properties of the Freund copula. Zbl 1448.60033Guzmics, Sándor; Pflug, Georg Ch. 2 2019 A review on ambiguity in stochastic portfolio optimization. Zbl 1416.90026Pflug, Georg Ch.; Pohl, Mathias 6 2018 Systemic risk and copula models. Zbl 1397.91609Pflug, Georg Ch.; Pichler, Alois 4 2018 Incorporating model uncertainty into optimal insurance contract design. Zbl 1416.91216Pflug, Georg Ch.; Timonina-Farkas, Anna; Hochrainer-Stigler, Stefan 5 2017 Time-inconsistent multistage stochastic programs: martingale bounds. Zbl 1346.90646Pflug, Georg Ch.; Pichler, Alois 21 2016 Bounds and approximations for multistage stochastic programs. Zbl 1333.90084Maggioni, Francesca; Pflug, Georg C. 18 2016 Time-consistent decisions and temporal decomposition of coherent risk functionals. Zbl 1338.90286Pflug, Georg Ch.; Pichler, Alois 18 2016 From empirical observations to tree models for stochastic optimization: convergence properties. Zbl 1346.90645Pflug, Georg Ch.; Pichler, Alois 13 2016 Perturbation analysis of inhomogeneous finite Markov chains. Zbl 1337.60181Heidergott, Bernd; Leahu, Haralambie; Löpker, Andreas; Pflug, Georg 4 2016 Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence. Zbl 1358.90169Boreiko, D. V.; Kaniovski, Y. M.; Pflug, G. Ch. 3 2016 Dynamic generation of scenario trees. Zbl 1337.90047Pflug, Georg Ch.; Pichler, Alois 21 2015 Multistage stochastic optimization. Zbl 1317.90220Pflug, Georg Ch.; Pichler, Alois 54 2014 On distributionally robust multiperiod stochastic optimization. Zbl 1328.90089Analui, Bita; Pflug, Georg Ch. 11 2014 Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches. Zbl 1304.91218Kovacevic, Raimund M.; Pflug, Georg C. 8 2014 Shape-restricted nonparametric regression with overall noisy measurements. Zbl 1297.62092Pflug, Georg Ch.; Wets, Roger J.-B. 2 2013 A distance for multistage stochastic optimization models. Zbl 1262.90118Pflug, Georg Ch.; Pichler, Alois 33 2012 Approximations for probability distributions and stochastic optimization problems. Zbl 1405.90093Pflug, Georg Ch.; Pichler, Alois 14 2011 A difference of convex formulation of value-at-risk constrained optimization. Zbl 1196.90088Wozabal, David; Hochreiter, Ronald; Pflug, Georg Ch. 14 2010 Gradient estimation for discrete-event systems by measure-valued differentiation. Zbl 1384.90097Heidergott, Bernd; Vázquez-Abad, Felisa J.; Pflug, Georg; Farenhorst-Yuan, Taoying 13 2010 Asymptotic distribution of law-invariant risk functionals. Zbl 1226.91070Pflug, Georg; Wozabal, Nancy 9 2010 Version-independence and nested distributions in multistage stochastic optimization. Zbl 1198.90307Pflug, G. Ch. 31 2009 Time consistency and information monotonicity of multiperiod acceptability functionals. Zbl 1185.91094Kovacevic, Raimund; Pflug, Georg Ch. 15 2009 Electricity swing options: behavioral models and pricing. Zbl 1176.90445Pflug, Georg C.; Broussev, Nikola 10 2009 Optimal pension fund management under multi-period risk minimization. Zbl 1163.91409Kilianová, Soňa; Pflug, Georg Ch. 7 2009 Quantitative fund management. Zbl 1152.91004 3 2009 Ambiguity in portfolio selection. Zbl 1180.91272Pflug, Georg; Wozabal, David 1 2009 Modeling, measuring and managing risk. Zbl 1153.91023Pflug, Georg Ch.; Römisch, Werner 107 2007 Ambiguity in portfolio selection. Zbl 1190.91138Pflug, Georg; Wozabal, David 75 2007 Financial scenario generation for stochastic multi-stage decision processes as facility location problems. Zbl 1144.90442Hochreiter, Ronald; Pflug, Georg Ch. 43 2007 Tree approximations of dynamic stochastic programs. Zbl 1211.90150Mirkov, Radoslava; Pflug, Georg Ch. 8 2007 Subdifferential representations of risk measures. Zbl 1138.91505Pflug, Georg Ch. 18 2006 On distortion functionals. Zbl 1186.91125Pflug, Georg Ch. 10 2006 Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. Zbl 1223.90084Hochreiter, R.; Pflug, G. Ch.; Wozabal, D. 3 2006 Polynomial algorithms for pricing path-dependent interest rate instruments. Zbl 1153.91508Hochreiter, Ronald; Pflug, Georg Ch. 1 2006 Coping with uncertainty. Modeling and policy issues. Selected papers based on the presentations at the workshop ‘Coping with uncertainty’, Laxenburg, Austria, December 13–16,2004. Zbl 1097.93003 1 2006 Measuring risk for income streams. Zbl 1085.90041Pflug, Georg Ch.; Ruszczyński, Andrzej 17 2005 Probability gradient estimation by set-valued calculus and applications in network design. Zbl 1114.90079Pflug, Georg Ch.; Weisshaupt, Heinz 12 2005 Dynamic stochastic optimization. Selected papers presented at the IFIP / IIASA / GAMM-workshop on “Dynamic stochastic optimization”, Laxenburg, Austria, March 11–14, 2002. Zbl 1024.00075 2 2004 The value of perfect information as a risk measure. Zbl 1190.91076Pflug, Georg Ch. 1 2004 A note on the recursive and parallel structure of the Birge and Qi factorization for tree structured linear programs. Zbl 1094.90027Pflug, Georg Ch.; Halada, Ladislav 2 2003 Inventory processes: Quasi-regenerative property, performance evaluation, and sensitvity estimation via simulation. Zbl 1030.90004Pflug, Georg; Rubinstein, Reuven Y. 2 2002 Scenario tree generation for multiperiod financial optimization of optimal discretization. Zbl 0987.91034Pflug, G. Ch. 92 2001 Asymptotic ruin probabilities for risk processes with dependent increments. Zbl 1055.91055Müller, Alfred; Pflug, Georg 20 2001 Some remarks on the value-at-risk and the conditional value-at-risk. Zbl 0994.91031Pflug, Georg Ch. 149 2000 Asset-liability optimization for pension fund management. Zbl 1015.90059Pflug, G. Ch.; Świȩtanowski, A. 4 2000 The AURORA financial management system: Model and parallel implementation design. Zbl 0990.90053Pflug, G. Ch.; Swietanowski, A.; Dockner, E.; Moritsch, H. 4 2000 Selected parallel optimization methods for financial management under uncertainty. Zbl 1045.91506Pflug, G. Ch.; Świȩtanowski, A. 1 2000 Optimal stochastic single-machine-tardiness scheduling by stochastic branch-and-bound. Zbl 0998.90040Gutjahr, W. J.; Hellmayr, A.; Pflug, G. Ch. 8 1999 Dynamic asset allocation under uncertainty for pension fund management. Zbl 0972.91039Pflug, Georg Ch.; Świȩtanowski, A. 6 1999 Stochastic programs and statistical data. Zbl 0919.90118Pflug, Georg Ch. 6 1999 How to measure risk? Zbl 1082.91545Pflug, Georg Ch. 2 1999 A branch and bound method for stochastic global optimization. Zbl 0920.90111Norkin, Vladimir I.; Pflug, Georg Ch.; Ruszczyński, Andrzej 54 1998 On the Glivenko-Cantelli problem in stochastic programming: Linear recourse and extensions. Zbl 0977.90031Pflug, Georg Ch.; Ruszczyński, Andrzej; Schultz, Rüdiger 5 1998 The likelihood ratio test for simple tree order: A useful asymptotic expansion. Zbl 0937.62030Futschik, Andreas; Pflug, Georg Ch. 1 1998 Risk-reshaping contracts and stochastic optimization. Zbl 0958.91034Pflug, Georg Ch. 2 1997 Optimal allocation of simulation experiments in discrete stochastic optimization and approximative algorithms. Zbl 0929.90061Futschik, A.; Pflug, G. Ch. 1 1997 Optimization of stochastic models. The interface between simulation and optimization. Zbl 0909.90220Pflug, Georg Ch. 43 1996 Simulated annealing for noisy cost functions. Zbl 0857.90095Gutjahr, Walter J.; Pflug, Georg Ch. 24 1996 Searching for the best: Stochastic approximation, simulated annealing and related procedures. Zbl 0857.93103Pflug, Georg 3 1996 Asymptotic stochastic programs. Zbl 0847.90107Pflug, Georg Ch. 10 1995 Confidence sets for discrete stochastic optimization. Zbl 0837.90096Futschik, A.; Pflug, G. 2 1995 Non-standard limit theorems for urn models and stochastic approximation procedures. Zbl 0823.62068Kaniovski, Yu.; Pflug, G. 1 1995 Stochastic approximation and optimization of random systems. Zbl 0747.62090Ljung, Lennart; Pflug, Georg; Walk, Harro 49 1992 Asymptotic dominance and confidence for solutions of stochastic programs. Zbl 1015.90511Pflug, Georg Ch. 8 1992 Gradient estimates for the performance of Markov chains and discrete event processes. Zbl 0766.60088Pflug, G. Ch. 6 1992 The asymptotic contour process of a binary tree is a Brownian excursion. Zbl 0757.60074Gutjahr, W.; Pflug, G. Ch. 4 1992 The asymptotic distribution of leaf heights in binary trees. Zbl 0772.05034Gutjahr, W.; Pflug, G. C. 4 1992 The limiting common distribution of two leaf heights in a random binary tree. Zbl 0764.68020Gutjahr, W.; Pflug, G. Ch. 2 1992 Average execution times of series-parallel networks. Zbl 0990.68501Gutjahr, W. J.; Pflug, G. Ch. 1 1992 On-line optimization of simulated Markovian processes. Zbl 0726.90088Pflug, G. Ch. 20 1990 Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size. Zbl 0716.62081Pflug, Georg Ch. 5 1990 Sampling derivatives of probabilities. Zbl 0677.65001Pflug, G. Ch. 9 1989 Stepsize rules, stopping times and their implementation in stochastic quasigradient algorithms. Zbl 0663.90064Pflug, G. Ch. 5 1988 Derivatives of probability measures - concepts and applications to the optimization of stochastic systems. Zbl 0642.93070Pflug, Georg Ch. 3 1988 Sequences of experiments admitting adaptive estimation. Zbl 0686.62018Grossmann, W.; Pflug, G. Ch. 1 1988 Stochastic minimization with constant step-size: Asymptotic laws. Zbl 0594.90089Pflug, Georg Ch. 8 1986 The degree of regularity is not estimable. Zbl 0554.62026Pflug, G. Ch. 1 1984 The limiting log-likelihood process for discontinuous density families. Zbl 0525.62034Pflug, Georg Ch. 8 1983 A statistically important Gaussian process. Zbl 0487.60040Pflug, Georg 9 1982 Recursive estimation in the ”almost smooth” case. Zbl 0469.62032Pflug, G. 1 1981 Stetige stochastische Approximation. Zbl 0418.62066Pflug, G. 1 1979 Some remarks on stochastic approximation. Zbl 0423.62066Pflug, G. 2 1978 On sequential classification. Zbl 0365.62062Pflug, G. 1 1976 all cited Publications top 5 cited Publications all top 5 Cited by 1,349 Authors 35 Pflug, Georg Ch. 28 Pichler, Alois 17 Shapiro, Alexander 15 Escudero, Laureano Fernando 14 Ruszczyński, Andrzej 14 Xu, Huifu 13 Maggioni, Francesca 12 Chen, Zhiping 12 Heidergott, Bernd F. 11 Van Ackooij, Wim 9 Gutjahr, Walter J. 9 Kuhn, Daniel 8 Bayraksan, Güzin 8 Kopa, Miloš 8 Römisch, Werner 8 Wozabal, David 7 Beiglböck, Mathias 7 Kovacevic, Raimund M. 7 Liu, Jia 7 Mehrotra, Sanjay 7 Norkin, Vladimir I. 6 Al-Refa’ei, Mahmoud H. 6 Araceli Garín, María 6 Consigli, Giorgio 6 Dentcheva, Darinka 6 Dupačová, Jitka 6 Henrion, René 6 Homem-de-Mello, Tito 6 Lejeune, Miguel A. 6 Monge, Juan Francisco 6 Moriggia, Vittorio 6 Morton, David P. 6 Pelletier, Mariane 6 Pérez-Aros, Pedro 5 Branda, Martin 5 Chabanyuk, Yaroslav M. 5 Claus, Matthias 5 Cossette, Hélène 5 Dörner, Karl F. 5 Fabozzi, Frank J. 5 Heitsch, Holger 5 Jadamba, Baasansuren 5 Khan, Akhtar Ali 5 Liu, Yongchao 5 Marceau, Étienne 5 Royset, Johannes O. 5 Sama, Miguel 5 Tomasgard, Asgeir 5 Unzueta, Aitziber 5 Uryasev, Stan 5 Vogel, Silvia 5 Wiesemann, Wolfram 4 Albrecher, Hansjörg 4 Bansal, Manish Kumar 4 Bartl, Daniel 4 Borkar, Vivek Shripad 4 Gaivoronski, Alexei A. 4 Geiersbach, Caroline 4 Gendreau, Michel 4 Hordijk, Arie 4 Kim, Joseph Hyun Tae 4 Kutoyants, Yury A. 4 Mansini, Renata 4 Mao, Tiantian 4 Mokkadem, Abdelkader 4 Noyan, Nilay 4 Ogryczak, Włodzimierz 4 Prékopa, András 4 Rahimian, Hamed 4 Righi, Marcelo Brutti 4 Schultz, Rüdiger 4 Tadić, Vladislav B. 4 Takano, Yuichi 4 Vázquez-Abad, Felisa J. 4 Veraguas, Julio Backhoff 4 Vitali, Sebastiano 3 Acciaio, Beatrice 3 Allevi, Elisabetta 3 Alonso-Ayuso, Antonio 3 Bäuerle, Nicole 3 Bertazzi, Luca 3 Bertocchi, Marida 3 Blomvall, Jörgen 3 de Oliveira, Welington Luis 3 Defourny, Boris 3 Devolder, Pierre 3 Doucet, Arnaud 3 Eder, Manu 3 Glanzer, Martin 3 Glynn, Peter W. 3 Gönsch, Jochen 3 Guignard, Monique 3 Guigues, Vincent 3 Guo, Shaoyan 3 Han, Liyan 3 Hartl, Richard F. 3 Iaquinta, Gaetano 3 Ji, Ran 3 Kasperski, Adam 3 Kountzakis, Christos E. ...and 1,249 more Authors all top 5 Cited in 174 Serials 120 European Journal of Operational Research 66 Annals of Operations Research 53 Mathematical Programming. Series A. Series B 30 Computational Management Science 24 Insurance Mathematics & Economics 24 SIAM Journal on Optimization 22 Computers & Operations Research 20 Operations Research Letters 19 Computational Optimization and Applications 15 Journal of Optimization Theory and Applications 12 Mathematics of Operations Research 12 INFORMS Journal on Computing 11 Operations Research 11 Cybernetics and Systems Analysis 11 Quantitative Finance 10 Journal of Statistical Planning and Inference 10 OR Spectrum 9 Kybernetika 9 Optimization 8 Automatica 8 Statistics & Probability Letters 8 Journal of Economic Dynamics & Control 8 Stochastic Processes and their Applications 7 The Annals of Statistics 7 Journal of Computational and Applied Mathematics 7 Journal of Global Optimization 7 Communications in Statistics. Theory and Methods 7 CEJOR. Central European Journal of Operations Research 6 SIAM Journal on Control and Optimization 6 Scandinavian Actuarial Journal 6 ASTIN Bulletin 6 Mathematics and Financial Economics 5 Advances in Applied Probability 5 Applied Mathematics and Computation 5 The Annals of Applied Probability 5 Probability in the Engineering and Informational Sciences 5 Optimization Letters 5 Set-Valued and Variational Analysis 4 Applied Mathematics and Optimization 4 Discrete Event Dynamic Systems 4 Mathematical Methods of Operations Research 4 Statistical Inference for Stochastic Processes 4 Optimization and Engineering 4 North American Actuarial Journal 4 Journal of Industrial and Management Optimization 4 Electronic Journal of Statistics 4 European Actuarial Journal 4 SIAM/ASA Journal on Uncertainty Quantification 3 Artificial Intelligence 3 Annals of the Institute of Statistical Mathematics 3 Theoretical Computer Science 3 Probability Theory and Related Fields 3 Computational Statistics and Data Analysis 3 Finance and Stochastics 3 Optimization Methods & Software 3 International Journal of Theoretical and Applied Finance 3 Methodology and Computing in Applied Probability 3 Journal of Systems Science and Complexity 3 Journal of Machine Learning Research (JMLR) 3 SIAM Journal on Financial Mathematics 3 Dependence Modeling 2 Journal of Mathematical Analysis and Applications 2 Journal of Multivariate Analysis 2 Mathematics and Computers in Simulation 2 Monatshefte für Mathematik 2 Naval Research Logistics 2 Numerische Mathematik 2 Opsearch 2 Systems & Control Letters 2 Stochastic Analysis and Applications 2 Journal of Theoretical Probability 2 MCSS. Mathematics of Control, Signals, and Systems 2 Machine Learning 2 Automation and Remote Control 2 Computational Economics 2 Tatra Mountains Mathematical Publications 2 SIAM Journal on Scientific Computing 2 Journal of Mathematical Sciences (New York) 2 Bernoulli 2 Journal of Nonparametric Statistics 2 RAIRO. Operations Research 2 4OR 2 Asia-Pacific Financial Markets 2 Advances in Decision Sciences 2 Statistics & Risk Modeling 2 Journal of the Operations Research Society of China 1 International Journal of Systems Science 1 Inverse Problems 1 Journal of the Franklin Institute 1 Journal of Statistical Physics 1 Lithuanian Mathematical Journal 1 Mathematical Biosciences 1 Metrika 1 Periodica Mathematica Hungarica 1 Psychometrika 1 Stochastics 1 Mathematics of Computation 1 The Annals of Probability 1 Computing 1 Information Sciences ...and 74 more Serials all top 5 Cited in 31 Fields 519 Operations research, mathematical programming (90-XX) 335 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 179 Statistics (62-XX) 157 Probability theory and stochastic processes (60-XX) 67 Numerical analysis (65-XX) 58 Systems theory; control (93-XX) 42 Calculus of variations and optimal control; optimization (49-XX) 25 Computer science (68-XX) 10 Partial differential equations (35-XX) 9 Functional analysis (46-XX) 9 Operator theory (47-XX) 8 Combinatorics (05-XX) 5 Measure and integration (28-XX) 3 History and biography (01-XX) 3 Ordinary differential equations (34-XX) 3 Abstract harmonic analysis (43-XX) 3 Biology and other natural sciences (92-XX) 2 General and overarching topics; collections (00-XX) 2 Real functions (26-XX) 2 Approximations and expansions (41-XX) 2 Convex and discrete geometry (52-XX) 2 Differential geometry (53-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Mechanics of deformable solids (74-XX) 1 Mathematical logic and foundations (03-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Difference and functional equations (39-XX) 1 General topology (54-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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