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Author ID: pflug.georg-ch Recent zbMATH articles by "Pflug, Georg Ch."
Published as: Pflug, Georg Ch.; Pflug, Georg; Pflug, G. Ch.; Pflug, Georg C.; Pflug, G.; Ch. Pflug, Georg; Pflug, G. C.
External Links: MGP · ORCID · Wikidata · GND · IdRef
all top 5

Co-Authors

45 single-authored
9 Pichler, Alois
7 Hochreiter, Ronald
5 Gutjahr, Walter J.
5 Kaniovski, Yuri M.
5 Ruszczyński, Andrzej
4 Futschik, Andreas
4 Glanzer, Martin
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
9 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

Publications by Year

Citations contained in zbMATH Open

99 Publications have been cited 1,405 times in 1,044 Documents Cited by Year
Some remarks on the value-at-risk and the conditional value-at-risk. Zbl 0994.91031
Pflug, Georg Ch.
167
2000
Modeling, measuring and managing risk. Zbl 1153.91023
Pflug, Georg Ch.; Römisch, Werner
157
2007
Multistage stochastic optimization. Zbl 1317.90220
Pflug, Georg Ch.; Pichler, Alois
100
2014
Scenario tree generation for multiperiod financial optimization of optimal discretization. Zbl 0987.91034
Pflug, G. Ch.
97
2001
Ambiguity in portfolio selection. Zbl 1190.91138
Pflug, Georg; Wozabal, David
91
2007
Optimization of stochastic models. The interface between simulation and optimization. Zbl 0909.90220
Pflug, Georg Ch.
68
1996
A branch and bound method for stochastic global optimization. Zbl 0920.90111
Norkin, Vladimir I.; Pflug, Georg Ch.; Ruszczyński, Andrzej
63
1998
Stochastic approximation and optimization of random systems. Zbl 0747.62090
Ljung, Lennart; Pflug, Georg; Walk, Harro
61
1992
A distance for multistage stochastic optimization models. Zbl 1262.90118
Pflug, Georg Ch.; Pichler, Alois
52
2012
Financial scenario generation for stochastic multi-stage decision processes as facility location problems. Zbl 1144.90442
Hochreiter, Ronald; Pflug, Georg Ch.
44
2007
Version-independence and nested distributions in multistage stochastic optimization. Zbl 1198.90307
Pflug, G. Ch.
37
2009
Dynamic generation of scenario trees. Zbl 1337.90047
Pflug, Georg Ch.; Pichler, Alois
28
2015
Projected stochastic gradients for convex constrained problems in Hilbert spaces. Zbl 1426.62238
Geiersbach, Caroline; Pflug, Georg Ch.
26
2019
Approximations for probability distributions and stochastic optimization problems. Zbl 1405.90093
Pflug, Georg Ch.; Pichler, Alois
26
2011
Simulated annealing for noisy cost functions. Zbl 0857.90095
Gutjahr, Walter J.; Pflug, Georg Ch.
24
1996
Time-inconsistent multistage stochastic programs: martingale bounds. Zbl 1346.90646
Pflug, Georg Ch.; Pichler, Alois
24
2016
On-line optimization of simulated Markovian processes. Zbl 0726.90088
Pflug, G. Ch.
21
1990
Bounds and approximations for multistage stochastic programs. Zbl 1333.90084
Maggioni, Francesca; Pflug, Georg C.
20
2016
Asymptotic ruin probabilities for risk processes with dependent increments. Zbl 1055.91055
Müller, Alfred; Pflug, Georg
20
2001
Measuring risk for income streams. Zbl 1085.90041
Pflug, Georg Ch.; Ruszczyński, Andrzej
20
2005
Subdifferential representations of risk measures. Zbl 1138.91505
Pflug, Georg Ch.
19
2006
Time-consistent decisions and temporal decomposition of coherent risk functionals. Zbl 1338.90286
Pflug, Georg Ch.; Pichler, Alois
19
2016
From empirical observations to tree models for stochastic optimization: convergence properties. Zbl 1346.90645
Pflug, Georg Ch.; Pichler, Alois
17
2016
Time consistency and information monotonicity of multiperiod acceptability functionals. Zbl 1185.91094
Kovacevic, Raimund; Pflug, Georg Ch.
15
2009
Gradient estimation for discrete-event systems by measure-valued differentiation. Zbl 1384.90097
Heidergott, Bernd; Vázquez-Abad, Felisa J.; Pflug, Georg; Farenhorst-Yuan, Taoying
14
2010
Asymptotic stochastic programs. Zbl 0847.90107
Pflug, Georg Ch.
14
1995
Probability gradient estimation by set-valued calculus and applications in network design. Zbl 1114.90079
Pflug, Georg Ch.; Weisshaupt, Heinz
14
2005
A review on ambiguity in stochastic portfolio optimization. Zbl 1416.90026
Pflug, Georg Ch.; Pohl, Mathias
14
2018
A difference of convex formulation of value-at-risk constrained optimization. Zbl 1196.90088
Wozabal, David; Hochreiter, Ronald; Pflug, Georg Ch.
14
2010
Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs. Zbl 1411.90241
Maggioni, Francesca; Pflug, Georg Ch.
13
2019
On distributionally robust multiperiod stochastic optimization. Zbl 1328.90089
Analui, Bita; Pflug, Georg Ch.
13
2014
On distortion functionals. Zbl 1186.91125
Pflug, Georg Ch.
11
2006
Electricity swing options: behavioral models and pricing. Zbl 1176.90445
Pflug, Georg C.; Broussev, Nikola
10
2009
Stochastic minimization with constant step-size: Asymptotic laws. Zbl 0594.90089
Pflug, Georg Ch.
10
1986
Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches. Zbl 1304.91218
Kovacevic, Raimund M.; Pflug, Georg C.
10
2014
A statistically important Gaussian process. Zbl 0487.60040
Pflug, Georg
9
1982
Tree approximations of dynamic stochastic programs. Zbl 1211.90150
Mirkov, Radoslava; Pflug, Georg Ch.
9
2007
Stochastic programs and statistical data. Zbl 0919.90118
Pflug, Georg Ch.
9
1999
Stepsize rules, stopping times and their implementation in stochastic quasigradient algorithms. Zbl 0663.90064
Pflug, G. Ch.
9
1988
Sampling derivatives of probabilities. Zbl 0677.65001
Pflug, G. Ch.
9
1989
Asymptotic distribution of law-invariant risk functionals. Zbl 1226.91070
Pflug, Georg; Wozabal, Nancy
9
2010
Optimal stochastic single-machine-tardiness scheduling by stochastic branch-and-bound. Zbl 0998.90040
Gutjahr, W. J.; Hellmayr, A.; Pflug, G. Ch.
8
1999
Incorporating model uncertainty into optimal insurance contract design. Zbl 1416.91216
Pflug, Georg Ch.; Timonina-Farkas, Anna; Hochrainer-Stigler, Stefan
8
2017
The limiting log-likelihood process for discontinuous density families. Zbl 0525.62034
Pflug, Georg Ch.
8
1983
Asymptotic dominance and confidence for solutions of stochastic programs. Zbl 1015.90511
Pflug, Georg Ch.
8
1992
Gradient estimates for the performance of Markov chains and discrete event processes. Zbl 0766.60088
Pflug, G. Ch.
7
1992
Optimal pension fund management under multi-period risk minimization. Zbl 1163.91409
Kilianová, Soňa; Pflug, Georg Ch.
7
2009
Optimal XL-insurance under Wasserstein-type ambiguity. Zbl 1425.91213
Birghila, Corina; Pflug, Georg Ch.
7
2019
Derivatives of probability measures - concepts and applications to the optimization of stochastic systems. Zbl 0642.93070
Pflug, Georg Ch.
7
1988
Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties. Zbl 1441.91088
Maier, Sebastian; Pflug, Georg C.; Polak, John W.
7
2020
Incorporating statistical model error into the calculation of acceptability prices of contingent claims. Zbl 1421.90095
Glanzer, Martin; Pflug, Georg Ch.; Pichler, Alois
6
2019
Dynamic asset allocation under uncertainty for pension fund management. Zbl 0972.91039
Pflug, Georg Ch.; Świȩtanowski, A.
6
1999
The distortion principle for insurance pricing: properties, identification and robustness. Zbl 1455.91220
Escobar, Debora Daniela; Pflug, Georg Ch.
6
2020
Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size. Zbl 0716.62081
Pflug, Georg Ch.
5
1990
On the Glivenko-Cantelli problem in stochastic programming: Linear recourse and extensions. Zbl 0977.90031
Pflug, Georg Ch.; Ruszczyński, Andrzej; Schultz, Rüdiger
5
1998
Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. Zbl 1223.90084
Hochreiter, R.; Pflug, G. Ch.; Wozabal, D.
4
2006
The asymptotic distribution of leaf heights in binary trees. Zbl 0772.05034
Gutjahr, W.; Pflug, G. C.
4
1992
The asymptotic contour process of a binary tree is a Brownian excursion. Zbl 0757.60074
Gutjahr, W.; Pflug, G. Ch.
4
1992
Searching for the best: Stochastic approximation, simulated annealing and related procedures. Zbl 0857.93103
Pflug, Georg
4
1996
Asset-liability optimization for pension fund management. Zbl 1015.90059
Pflug, G. Ch.; Świȩtanowski, A.
4
2000
The AURORA financial management system: Model and parallel implementation design. Zbl 0990.90053
Pflug, G. Ch.; Swietanowski, A.; Dockner, E.; Moritsch, H.
4
2000
Perturbation analysis of inhomogeneous finite Markov chains. Zbl 1337.60181
Heidergott, Bernd; Leahu, Haralambie; Löpker, Andreas; Pflug, Georg
4
2016
Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence. Zbl 1358.90169
Boreiko, D. V.; Kaniovski, Y. M.; Pflug, G. Ch.
4
2016
Systemic risk and copula models. Zbl 1397.91609
Pflug, Georg Ch.; Pichler, Alois
4
2018
Quantitative fund management. Zbl 1152.91004
3
2009
Inventory processes: Quasi-regenerative property, performance evaluation, and sensitvity estimation via simulation. Zbl 1030.90004
Pflug, Georg; Rubinstein, Reuven Y.
3
2002
Multiscale stochastic optimization: modeling aspects and scenario generation. Zbl 1432.90094
Glanzer, Martin; Pflug, Georg Ch.
3
2020
Two-stage stochastic standard quadratic optimization. Zbl 1495.90114
Bomze, Immanuel M.; Gabl, Markus; Maggioni, Francesca; Pflug, Georg Ch.
3
2022
Distributionally robust optimization with multiple time scales: valuation of a thermal power plant. Zbl 07304214
van Ackooij, Wim; Escobar, Debora Daniela; Glanzer, Martin; Pflug, Georg Ch.
3
2020
Stetige stochastische Approximation. Zbl 0418.62066
Pflug, G.
2
1979
Some remarks on stochastic approximation. Zbl 0423.62066
Pflug, G.
2
1978
Modelling cascading effects for systemic risk: properties of the Freund copula. Zbl 1448.60033
Guzmics, Sándor; Pflug, Georg Ch.
2
2019
The limiting common distribution of two leaf heights in a random binary tree. Zbl 0764.68020
Gutjahr, W.; Pflug, G. Ch.
2
1992
Confidence sets for discrete stochastic optimization. Zbl 0837.90096
Futschik, A.; Pflug, G.
2
1995
Mathematical statistics and applications. Proceedings of the 4th Pannonian Symposium on Mathematical Statistics, Bad Tatzmannsdorf, Austria, September 4-10, 1983, Volume B. Zbl 0583.00028
2
1985
Risk-reshaping contracts and stochastic optimization. Zbl 0958.91034
Pflug, Georg Ch.
2
1997
How to measure risk? Zbl 1082.91545
Pflug, Georg Ch.
2
1999
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
A note on the recursive and parallel structure of the Birge and Qi factorization for tree structured linear programs. Zbl 1094.90027
Pflug, Georg Ch.; Halada, Ladislav
2
2003
Identification of hidden Markov chains governing dependent credit-rating migrations. Zbl 1508.91587
Boreiko, D. V.; Kaniovski, S. Y.; Kaniovski, Y. M.; Pflug, G. Ch.
2
2019
Shape-restricted nonparametric regression with overall noisy measurements. Zbl 1297.62092
Pflug, Georg Ch.; Wets, Roger J.-B.
2
2013
Recursive estimation in the ”almost smooth” case. Zbl 0469.62032
Pflug, G.
1
1981
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
Polynomial algorithms for pricing path-dependent interest rate instruments. Zbl 1153.91508
Hochreiter, Ronald; Pflug, Georg Ch.
1
2006
Non-standard limit theorems for urn models and stochastic approximation procedures. Zbl 0823.62068
Kaniovski, Yu.; Pflug, G.
1
1995
Ambiguity in portfolio selection. Zbl 1180.91272
Pflug, Georg; Wozabal, David
1
2009
The value of perfect information as a risk measure. Zbl 1190.91076
Pflug, Georg Ch.
1
2004
Optimal allocation of simulation experiments in discrete stochastic optimization and approximative algorithms. Zbl 0929.90061
Futschik, A.; Pflug, G. Ch.
1
1997
The likelihood ratio test for simple tree order: A useful asymptotic expansion. Zbl 0937.62030
Futschik, Andreas; Pflug, Georg Ch.
1
1998
Average execution times of series-parallel networks. Zbl 0990.68501
Gutjahr, W. J.; Pflug, G. Ch.
1
1992
On sequential classification. Zbl 0365.62062
Pflug, G.
1
1976
The degree of regularity is not estimable. Zbl 0554.62026
Pflug, G. Ch.
1
1984
Sequences of experiments admitting adaptive estimation. Zbl 0686.62018
Grossmann, W.; Pflug, G. Ch.
1
1988
The limiting log-likelihood process for discontinuous multiparameter density families. Zbl 0493.62024
Pflug, Georg Ch.
1
1982
On Kersting’s theorem on weak convergence of recursions. Zbl 0536.62065
Pflug, Georg Ch.
1
1983
Selected parallel optimization methods for financial management under uncertainty. Zbl 1045.91506
Pflug, G. Ch.; Świȩtanowski, A.
1
2000
Are time consistent valuations information monotone? Zbl 1336.91090
Kovacevic, Raimund M.; Pflug, Georg Ch.
1
2014
Correction to: “Distributionally robust optimization with multiple time scales: valuation of a thermal power plant”. Zbl 07304215
van Ackooij, Wim; Escobar, Debora Daniela; Glanzer, Martin; Pflug, Georg Ch.
1
2020
Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation. Zbl 1468.91191
Pflug, Georg Ch.; Thoma, Philipp
1
2016
Two-stage stochastic standard quadratic optimization. Zbl 1495.90114
Bomze, Immanuel M.; Gabl, Markus; Maggioni, Francesca; Pflug, Georg Ch.
3
2022
Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties. Zbl 1441.91088
Maier, Sebastian; Pflug, Georg C.; Polak, John W.
7
2020
The distortion principle for insurance pricing: properties, identification and robustness. Zbl 1455.91220
Escobar, Debora Daniela; Pflug, Georg Ch.
6
2020
Multiscale stochastic optimization: modeling aspects and scenario generation. Zbl 1432.90094
Glanzer, Martin; Pflug, Georg Ch.
3
2020
Distributionally robust optimization with multiple time scales: valuation of a thermal power plant. Zbl 07304214
van Ackooij, Wim; Escobar, Debora Daniela; Glanzer, Martin; Pflug, Georg Ch.
3
2020
Correction to: “Distributionally robust optimization with multiple time scales: valuation of a thermal power plant”. Zbl 07304215
van Ackooij, Wim; Escobar, Debora Daniela; Glanzer, Martin; Pflug, Georg Ch.
1
2020
Projected stochastic gradients for convex constrained problems in Hilbert spaces. Zbl 1426.62238
Geiersbach, Caroline; Pflug, Georg Ch.
26
2019
Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs. Zbl 1411.90241
Maggioni, Francesca; Pflug, Georg Ch.
13
2019
Optimal XL-insurance under Wasserstein-type ambiguity. Zbl 1425.91213
Birghila, Corina; Pflug, Georg Ch.
7
2019
Incorporating statistical model error into the calculation of acceptability prices of contingent claims. Zbl 1421.90095
Glanzer, Martin; Pflug, Georg Ch.; Pichler, Alois
6
2019
Modelling cascading effects for systemic risk: properties of the Freund copula. Zbl 1448.60033
Guzmics, Sándor; Pflug, Georg Ch.
2
2019
Identification of hidden Markov chains governing dependent credit-rating migrations. Zbl 1508.91587
Boreiko, D. V.; Kaniovski, S. Y.; Kaniovski, Y. M.; Pflug, G. Ch.
2
2019
A review on ambiguity in stochastic portfolio optimization. Zbl 1416.90026
Pflug, Georg Ch.; Pohl, Mathias
14
2018
Systemic risk and copula models. Zbl 1397.91609
Pflug, Georg Ch.; Pichler, Alois
4
2018
Incorporating model uncertainty into optimal insurance contract design. Zbl 1416.91216
Pflug, Georg Ch.; Timonina-Farkas, Anna; Hochrainer-Stigler, Stefan
8
2017
Time-inconsistent multistage stochastic programs: martingale bounds. Zbl 1346.90646
Pflug, Georg Ch.; Pichler, Alois
24
2016
Bounds and approximations for multistage stochastic programs. Zbl 1333.90084
Maggioni, Francesca; Pflug, Georg C.
20
2016
Time-consistent decisions and temporal decomposition of coherent risk functionals. Zbl 1338.90286
Pflug, Georg Ch.; Pichler, Alois
19
2016
From empirical observations to tree models for stochastic optimization: convergence properties. Zbl 1346.90645
Pflug, Georg Ch.; Pichler, Alois
17
2016
Perturbation analysis of inhomogeneous finite Markov chains. Zbl 1337.60181
Heidergott, Bernd; Leahu, Haralambie; Löpker, Andreas; Pflug, Georg
4
2016
Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence. Zbl 1358.90169
Boreiko, D. V.; Kaniovski, Y. M.; Pflug, G. Ch.
4
2016
Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation. Zbl 1468.91191
Pflug, Georg Ch.; Thoma, Philipp
1
2016
Dynamic generation of scenario trees. Zbl 1337.90047
Pflug, Georg Ch.; Pichler, Alois
28
2015
Multistage stochastic optimization. Zbl 1317.90220
Pflug, Georg Ch.; Pichler, Alois
100
2014
On distributionally robust multiperiod stochastic optimization. Zbl 1328.90089
Analui, Bita; Pflug, Georg Ch.
13
2014
Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches. Zbl 1304.91218
Kovacevic, Raimund M.; Pflug, Georg C.
10
2014
Are time consistent valuations information monotone? Zbl 1336.91090
Kovacevic, Raimund M.; Pflug, Georg Ch.
1
2014
Shape-restricted nonparametric regression with overall noisy measurements. Zbl 1297.62092
Pflug, Georg Ch.; Wets, Roger J.-B.
2
2013
A distance for multistage stochastic optimization models. Zbl 1262.90118
Pflug, Georg Ch.; Pichler, Alois
52
2012
Approximations for probability distributions and stochastic optimization problems. Zbl 1405.90093
Pflug, Georg Ch.; Pichler, Alois
26
2011
Gradient estimation for discrete-event systems by measure-valued differentiation. Zbl 1384.90097
Heidergott, Bernd; Vázquez-Abad, Felisa J.; Pflug, Georg; Farenhorst-Yuan, Taoying
14
2010
A difference of convex formulation of value-at-risk constrained optimization. Zbl 1196.90088
Wozabal, David; Hochreiter, Ronald; Pflug, Georg Ch.
14
2010
Asymptotic distribution of law-invariant risk functionals. Zbl 1226.91070
Pflug, Georg; Wozabal, Nancy
9
2010
Version-independence and nested distributions in multistage stochastic optimization. Zbl 1198.90307
Pflug, G. Ch.
37
2009
Time consistency and information monotonicity of multiperiod acceptability functionals. Zbl 1185.91094
Kovacevic, Raimund; Pflug, Georg Ch.
15
2009
Electricity swing options: behavioral models and pricing. Zbl 1176.90445
Pflug, Georg C.; Broussev, Nikola
10
2009
Optimal pension fund management under multi-period risk minimization. Zbl 1163.91409
Kilianová, Soňa; Pflug, Georg Ch.
7
2009
Quantitative fund management. Zbl 1152.91004
3
2009
Ambiguity in portfolio selection. Zbl 1180.91272
Pflug, Georg; Wozabal, David
1
2009
Modeling, measuring and managing risk. Zbl 1153.91023
Pflug, Georg Ch.; Römisch, Werner
157
2007
Ambiguity in portfolio selection. Zbl 1190.91138
Pflug, Georg; Wozabal, David
91
2007
Financial scenario generation for stochastic multi-stage decision processes as facility location problems. Zbl 1144.90442
Hochreiter, Ronald; Pflug, Georg Ch.
44
2007
Tree approximations of dynamic stochastic programs. Zbl 1211.90150
Mirkov, Radoslava; Pflug, Georg Ch.
9
2007
Subdifferential representations of risk measures. Zbl 1138.91505
Pflug, Georg Ch.
19
2006
On distortion functionals. Zbl 1186.91125
Pflug, Georg Ch.
11
2006
Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. Zbl 1223.90084
Hochreiter, R.; Pflug, G. Ch.; Wozabal, D.
4
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
Polynomial algorithms for pricing path-dependent interest rate instruments. Zbl 1153.91508
Hochreiter, Ronald; Pflug, Georg Ch.
1
2006
Measuring risk for income streams. Zbl 1085.90041
Pflug, Georg Ch.; Ruszczyński, Andrzej
20
2005
Probability gradient estimation by set-valued calculus and applications in network design. Zbl 1114.90079
Pflug, Georg Ch.; Weisshaupt, Heinz
14
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 1190.91076
Pflug, Georg Ch.
1
2004
A note on the recursive and parallel structure of the Birge and Qi factorization for tree structured linear programs. Zbl 1094.90027
Pflug, Georg Ch.; Halada, Ladislav
2
2003
Inventory processes: Quasi-regenerative property, performance evaluation, and sensitvity estimation via simulation. Zbl 1030.90004
Pflug, Georg; Rubinstein, Reuven Y.
3
2002
Scenario tree generation for multiperiod financial optimization of optimal discretization. Zbl 0987.91034
Pflug, G. Ch.
97
2001
Asymptotic ruin probabilities for risk processes with dependent increments. Zbl 1055.91055
Müller, Alfred; Pflug, Georg
20
2001
Some remarks on the value-at-risk and the conditional value-at-risk. Zbl 0994.91031
Pflug, Georg Ch.
167
2000
Asset-liability optimization for pension fund management. Zbl 1015.90059
Pflug, G. Ch.; Świȩtanowski, A.
4
2000
The AURORA financial management system: Model and parallel implementation design. Zbl 0990.90053
Pflug, G. Ch.; Swietanowski, A.; Dockner, E.; Moritsch, H.
4
2000
Selected parallel optimization methods for financial management under uncertainty. Zbl 1045.91506
Pflug, G. Ch.; Świȩtanowski, A.
1
2000
Stochastic programs and statistical data. Zbl 0919.90118
Pflug, Georg Ch.
9
1999
Optimal stochastic single-machine-tardiness scheduling by stochastic branch-and-bound. Zbl 0998.90040
Gutjahr, W. J.; Hellmayr, A.; Pflug, G. Ch.
8
1999
Dynamic asset allocation under uncertainty for pension fund management. Zbl 0972.91039
Pflug, Georg Ch.; Świȩtanowski, A.
6
1999
How to measure risk? Zbl 1082.91545
Pflug, Georg Ch.
2
1999
A branch and bound method for stochastic global optimization. Zbl 0920.90111
Norkin, Vladimir I.; Pflug, Georg Ch.; Ruszczyński, Andrzej
63
1998
On the Glivenko-Cantelli problem in stochastic programming: Linear recourse and extensions. Zbl 0977.90031
Pflug, Georg Ch.; Ruszczyński, Andrzej; Schultz, Rüdiger
5
1998
The likelihood ratio test for simple tree order: A useful asymptotic expansion. Zbl 0937.62030
Futschik, Andreas; Pflug, Georg Ch.
1
1998
Risk-reshaping contracts and stochastic optimization. Zbl 0958.91034
Pflug, Georg Ch.
2
1997
Optimal allocation of simulation experiments in discrete stochastic optimization and approximative algorithms. Zbl 0929.90061
Futschik, A.; Pflug, G. Ch.
1
1997
Optimization of stochastic models. The interface between simulation and optimization. Zbl 0909.90220
Pflug, Georg Ch.
68
1996
Simulated annealing for noisy cost functions. Zbl 0857.90095
Gutjahr, Walter J.; Pflug, Georg Ch.
24
1996
Searching for the best: Stochastic approximation, simulated annealing and related procedures. Zbl 0857.93103
Pflug, Georg
4
1996
Asymptotic stochastic programs. Zbl 0847.90107
Pflug, Georg Ch.
14
1995
Confidence sets for discrete stochastic optimization. Zbl 0837.90096
Futschik, A.; Pflug, G.
2
1995
Non-standard limit theorems for urn models and stochastic approximation procedures. Zbl 0823.62068
Kaniovski, Yu.; Pflug, G.
1
1995
Stochastic approximation and optimization of random systems. Zbl 0747.62090
Ljung, Lennart; Pflug, Georg; Walk, Harro
61
1992
Asymptotic dominance and confidence for solutions of stochastic programs. Zbl 1015.90511
Pflug, Georg Ch.
8
1992
Gradient estimates for the performance of Markov chains and discrete event processes. Zbl 0766.60088
Pflug, G. Ch.
7
1992
The asymptotic distribution of leaf heights in binary trees. Zbl 0772.05034
Gutjahr, W.; Pflug, G. C.
4
1992
The asymptotic contour process of a binary tree is a Brownian excursion. Zbl 0757.60074
Gutjahr, W.; Pflug, G. Ch.
4
1992
The limiting common distribution of two leaf heights in a random binary tree. Zbl 0764.68020
Gutjahr, W.; Pflug, G. Ch.
2
1992
Average execution times of series-parallel networks. Zbl 0990.68501
Gutjahr, W. J.; Pflug, G. Ch.
1
1992
On-line optimization of simulated Markovian processes. Zbl 0726.90088
Pflug, G. Ch.
21
1990
Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size. Zbl 0716.62081
Pflug, Georg Ch.
5
1990
Sampling derivatives of probabilities. Zbl 0677.65001
Pflug, G. Ch.
9
1989
Stepsize rules, stopping times and their implementation in stochastic quasigradient algorithms. Zbl 0663.90064
Pflug, G. Ch.
9
1988
Derivatives of probability measures - concepts and applications to the optimization of stochastic systems. Zbl 0642.93070
Pflug, Georg Ch.
7
1988
Sequences of experiments admitting adaptive estimation. Zbl 0686.62018
Grossmann, W.; Pflug, G. Ch.
1
1988
Stochastic minimization with constant step-size: Asymptotic laws. Zbl 0594.90089
Pflug, Georg Ch.
10
1986
Mathematical statistics and applications. Proceedings of the 4th Pannonian Symposium on Mathematical Statistics, Bad Tatzmannsdorf, Austria, September 4-10, 1983, Volume B. Zbl 0583.00028
2
1985
The degree of regularity is not estimable. Zbl 0554.62026
Pflug, G. Ch.
1
1984
The limiting log-likelihood process for discontinuous density families. Zbl 0525.62034
Pflug, Georg Ch.
8
1983
On Kersting’s theorem on weak convergence of recursions. Zbl 0536.62065
Pflug, Georg Ch.
1
1983
A statistically important Gaussian process. Zbl 0487.60040
Pflug, Georg
9
1982
The limiting log-likelihood process for discontinuous multiparameter density families. Zbl 0493.62024
Pflug, Georg Ch.
1
1982
Recursive estimation in the ”almost smooth” case. Zbl 0469.62032
Pflug, G.
1
1981
Stetige stochastische Approximation. Zbl 0418.62066
Pflug, G.
2
1979
Some remarks on stochastic approximation. Zbl 0423.62066
Pflug, G.
2
1978
On sequential classification. Zbl 0365.62062
Pflug, G.
1
1976
all top 5

Cited by 1,602 Authors

38 Pflug, Georg Ch.
30 Pichler, Alois
20 Xu, Huifu
18 Ruszczyński, Andrzej
18 Shapiro, Alexander
17 Heidergott, Bernd F.
16 Escudero, Laureano Fernando
15 Chen, Zhiping
15 Maggioni, Francesca
12 Kuhn, Daniel
12 Van Ackooij, Wim
11 Bayraksan, Güzin
9 Gutjahr, Walter J.
9 Römisch, Werner
8 Kopa, Miloš
8 Liu, Jia
8 Schultz, Rüdiger
8 Wozabal, David
7 Beiglböck, Mathias
7 Dentcheva, Darinka
7 Fu, Michael C.
7 Geiersbach, Caroline
7 Henrion, René
7 Homem-de-Mello, Tito
7 Khan, Akhtar Ali
7 Kovacevic, Raimund M.
7 Mehrotra, Sanjay
7 Monge, Juan Francisco
7 Moriggia, Vittorio
7 Morton, David P.
7 Norkin, Vladimir I.
7 Peng, Yijie
7 Sama, Miguel
7 Zitikis, Ričardas
6 Al-Refa’ei, Mahmoud H.
6 Araceli Garín, María
6 Branda, Martin
6 Claus, Matthias
6 Consigli, Giorgio
6 Dupačová, Jitka
6 Guigues, Vincent
6 Heitsch, Holger
6 Lejeune, Miguel A.
6 Liu, Yongchao
6 Noyan, Nilay
6 Pelletier, Mariane
6 Pérez-Aros, Pedro
6 Royset, Johannes O.
6 Tomasgard, Asgeir
6 Wang, Ruodu
5 Bansal, Manish Kumar
5 Bartl, Daniel
5 Chabanyuk, Yaroslav M.
5 Cossette, Hélène
5 de Oliveira, Welington Luis
5 Dörner, Karl F.
5 Fabozzi, Frank J.
5 Jadamba, Baasansuren
5 Mao, Tiantian
5 Marceau, Étienne
5 Speranza, Maria Grazia
5 Sun, Hailin
5 Tadić, Vladislav B.
5 Unzueta, Aitziber
5 Uryasev, Stan
5 Vázquez-Abad, Felisa J.
5 Vitali, Sebastiano
5 Vogel, Silvia
5 Wiesemann, Wolfram
5 Zhang, Liwei
4 Albrecher, Hansjörg
4 Boonen, Tim J.
4 Borkar, Vivek Shripad
4 Chancelier, Jean-Philippe
4 Devolder, Pierre
4 Dippon, Jürgen
4 Doucet, Arnaud
4 Gaivoronski, Alexei A.
4 Gendreau, Michel
4 Gönsch, Jochen
4 Hordijk, Arie
4 Jiang, Jie
4 Kim, Joseph Hyun Tae
4 Kutoyants, Yury A.
4 Lisser, Abdel
4 Liu, Haiyan
4 Mansini, Renata
4 Mokkadem, Abdelkader
4 Ogryczak, Włodzimierz
4 Pammer, Gudmund
4 Prékopa, András
4 Rahimian, Hamed
4 Righi, Marcelo Brutti
4 Rumpf, Martin
4 Takano, Yuichi
4 Uǧurlu, Kerem
4 Veraguas, Julio Backhoff
4 Volk-Makarewicz, Warren M.
4 Wang, Wei
4 Weintraub, Andrés P.
...and 1,502 more Authors
all top 5

Cited in 202 Serials

137 European Journal of Operational Research
71 Annals of Operations Research
62 Mathematical Programming. Series A. Series B
36 SIAM Journal on Optimization
33 Computational Management Science
27 Insurance Mathematics & Economics
25 Computers & Operations Research
22 Computational Optimization and Applications
21 Operations Research Letters
15 Journal of Optimization Theory and Applications
15 Cybernetics and Systems Analysis
15 INFORMS Journal on Computing
14 Operations Research
13 Mathematics of Operations Research
12 Journal of Statistical Planning and Inference
12 Optimization
12 Quantitative Finance
11 Stochastic Processes and their Applications
10 Journal of Global Optimization
10 Communications in Statistics. Theory and Methods
10 OR Spectrum
9 Automatica
9 Journal of Computational and Applied Mathematics
9 Kybernetika
9 SIAM Journal on Control and Optimization
9 Journal of Economic Dynamics & Control
8 Statistics & Probability Letters
8 The Annals of Applied Probability
8 ASTIN Bulletin
8 Mathematics and Financial Economics
7 The Annals of Statistics
7 CEJOR. Central European Journal of Operations Research
7 Scandinavian Actuarial Journal
7 Journal of Machine Learning Research (JMLR)
6 Advances in Applied Probability
6 International Transactions in Operational Research
6 Mathematical Finance
6 Optimization Letters
6 European Actuarial Journal
6 SIAM/ASA Journal on Uncertainty Quantification
5 Applied Mathematics and Computation
5 Applied Mathematics and Optimization
5 Discrete Event Dynamic Systems
5 Optimization Methods & Software
5 Mathematical Methods of Operations Research
5 Probability in the Engineering and Informational Sciences
5 Optimization and Engineering
5 North American Actuarial Journal
5 Journal of Industrial and Management Optimization
5 SIAM Journal on Financial Mathematics
5 Set-Valued and Variational Analysis
5 EURO Journal on Computational Optimization
4 Artificial Intelligence
4 Annals of the Institute of Statistical Mathematics
4 Information Sciences
4 Journal of Multivariate Analysis
4 Journal of Mathematical Sciences (New York)
4 Journal of Convex Analysis
4 Finance and Stochastics
4 Statistical Inference for Stochastic Processes
4 Methodology and Computing in Applied Probability
4 Electronic Journal of Statistics
3 Mathematics and Computers in Simulation
3 Networks
3 Theoretical Computer Science
3 Probability Theory and Related Fields
3 Computational Statistics and Data Analysis
3 Bernoulli
3 International Journal of Theoretical and Applied Finance
3 Journal of Systems Science and Complexity
3 4OR
3 Dependence Modeling
2 Journal of Mathematical Analysis and Applications
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 Applied Mathematical Modelling
2 Automation and Remote Control
2 Computational Economics
2 Tatra Mountains Mathematical Publications
2 SIAM Journal on Scientific Computing
2 Calculus of Variations and Partial Differential Equations
2 Statistical Papers
2 Journal of Nonparametric Statistics
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 RAIRO. Operations Research
2 Applied Stochastic Models in Business and Industry
2 Structural and Multidisciplinary Optimization
2 Asia-Pacific Financial Markets
2 Vestnik Yuzhno-Ural’skogo Gosudarstvennogo Universiteta. Seriya Matematicheskoe Modelirovanie i Programmirovanie
2 Advances in Decision Sciences
2 Numerical Algebra, Control and Optimization
2 Statistics & Risk Modeling
2 Journal of the Operations Research Society of China
...and 102 more Serials
all top 5

Cited in 36 Fields

617 Operations research, mathematical programming (90-XX)
401 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
223 Statistics (62-XX)
193 Probability theory and stochastic processes (60-XX)
90 Numerical analysis (65-XX)
77 Systems theory; control (93-XX)
65 Calculus of variations and optimal control; optimization (49-XX)
32 Computer science (68-XX)
20 Partial differential equations (35-XX)
10 Functional analysis (46-XX)
9 Operator theory (47-XX)
8 Combinatorics (05-XX)
7 Measure and integration (28-XX)
4 Biology and other natural sciences (92-XX)
3 History and biography (01-XX)
3 Ordinary differential equations (34-XX)
3 Abstract harmonic analysis (43-XX)
3 Mechanics of deformable solids (74-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)
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 Mechanics of particles and systems (70-XX)
1 Fluid mechanics (76-XX)
1 Optics, electromagnetic theory (78-XX)
1 Quantum theory (81-XX)
1 Geophysics (86-XX)
1 Information and communication theory, circuits (94-XX)
1 Mathematics education (97-XX)

Citations by Year

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