| Publication | Date of Publication | Type |
|---|
Guaranteed bounds for optimal stopping problems using kernel-based non-asymptotic uniform confidence bands
European Journal of Operational Research | 2025-12-02 | Paper |
Tree approximation of scenario processes for multistage stochastic optimization: algorithms and fast implementations
Computational Management Science | 2025-11-04 | Paper |
Sampling methods for multi-stage robust optimization problems
Annals of Operations Research | 2025-05-15 | Paper |
Multistage stochastic decision problems: approximation by recursive structures and ambiguity modeling
European Journal of Operational Research | 2023-07-03 | Paper |
Two-stage stochastic standard quadratic optimization
European Journal of Operational Research | 2022-02-23 | Paper |
Identification of hidden Markov chains governing dependent credit-rating migrations
Communications in Statistics: Theory and Methods | 2021-11-22 | Paper |
Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation
Quantitative Finance | 2021-07-16 | Paper |
A new extreme value copula and new families of univariate distributions based on Freund's exponential model
Dependence Modeling | 2021-05-07 | Paper |
Distributionally robust optimization with multiple time scales: valuation of a thermal power plant
Computational Management Science | 2021-02-02 | Paper |
Correction to: ``Distributionally robust optimization with multiple time scales: valuation of a thermal power plant''
Computational Management Science | 2021-02-02 | Paper |
The distortion principle for insurance pricing: properties, identification and robustness
Annals of Operations Research | 2021-01-06 | Paper |
Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
European Journal of Operational Research | 2020-05-26 | Paper |
Multiscale stochastic optimization: modeling aspects and scenario generation
Computational Optimization and Applications | 2020-02-28 | Paper |
Modelling cascading effects for systemic risk: properties of the Freund copula
Dependence Modeling | 2020-01-13 | Paper |
Optimal XL-insurance under Wasserstein-type ambiguity
Insurance Mathematics & Economics | 2019-09-19 | Paper |
Projected stochastic gradients for convex constrained problems in Hilbert spaces
SIAM Journal on Optimization | 2019-08-27 | Paper |
Incorporating statistical model error into the calculation of acceptability prices of contingent claims
Mathematical Programming. Series A. Series B | 2019-04-24 | Paper |
Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs
SIAM Journal on Optimization | 2019-02-20 | Paper |
Approximations for Probability Distributions and Stochastic Optimization Problems
International Series in Operations Research & Management Science | 2019-01-25 | Paper |
A review on ambiguity in stochastic portfolio optimization
Set-Valued and Variational Analysis | 2019-01-16 | Paper |
Systemic risk and copula models
CEJOR. Central European Journal of Operations Research | 2018-10-05 | Paper |
Gradient estimation for discrete-event systems by measure-valued differentiation
ACM Transactions on Modeling and Computer Simulation | 2018-04-16 | Paper |
Modeling of Dependent Credit Rating Transitions Governed by Industry-Specific Markovian Matrices
Operations Research Proceedings | 2017-12-01 | Paper |
Incorporating model uncertainty into optimal insurance contract design
Insurance Mathematics & Economics | 2017-11-23 | Paper |
Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
CEJOR. Central European Journal of Operations Research | 2017-04-04 | Paper |
Time-inconsistent multistage stochastic programs: martingale bounds
European Journal of Operational Research | 2016-10-07 | Paper |
From empirical observations to tree models for stochastic optimization: convergence properties
SIAM Journal on Optimization | 2016-09-02 | Paper |
Time-consistent decisions and temporal decomposition of coherent risk functionals
Mathematics of Operations Research | 2016-05-19 | Paper |
Perturbation analysis of inhomogeneous finite Markov chains
Advances in Applied Probability | 2016-05-17 | Paper |
Bounds and approximations for multistage stochastic programs
SIAM Journal on Optimization | 2016-03-30 | Paper |
Dynamic generation of scenario trees
Computational Optimization and Applications | 2016-01-07 | Paper |
On distributionally robust multiperiod stochastic optimization
Computational Management Science | 2015-07-21 | Paper |
Stochastic vs deterministic programming in water management: the value of flexibility
Annals of Operations Research | 2015-02-27 | Paper |
Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
European Journal of Operational Research | 2015-02-04 | Paper |
Multistage stochastic optimization
Springer Series in Operations Research and Financial Engineering | 2014-08-12 | Paper |
Are time consistent valuations information monotone?
International Journal of Theoretical and Applied Finance | 2014-04-25 | Paper |
Shape-restricted nonparametric regression with overall noisy measurements
Journal of Nonparametric Statistics | 2013-06-24 | Paper |
A distance for multistage stochastic optimization models
SIAM Journal on Optimization | 2012-08-22 | Paper |
Asymptotic distribution of law-invariant risk functionals
Finance and Stochastics | 2011-11-27 | Paper |
Multi-stage stochastic electricity portfolio optimization in liberalized energy markets
IFIP International Federation for Information Processing | 2011-06-01 | Paper |
A note on pivotal value-at-risk estimates
Statistics & Decisions | 2010-09-28 | Paper |
A difference of convex formulation of value-at-risk constrained optimization
Optimization | 2010-07-26 | Paper |
| Time consistency and information monotonicity of multiperiod acceptability functionals | 2010-01-13 | Paper |
Electricity swing options: behavioral models and pricing
European Journal of Operational Research | 2009-12-07 | Paper |
| scientific article; zbMATH DE number 5589693 (Why is no real title available?) | 2009-08-03 | Paper |
Optimal pension fund management under multi-period risk minimization
Annals of Operations Research | 2009-06-25 | Paper |
| scientific article; zbMATH DE number 5500598 (Why is no real title available?) | 2009-01-30 | Paper |
| Modeling, measuring and managing risk | 2008-10-02 | Paper |
Tree Approximations of Dynamic Stochastic Programs
SIAM Journal on Optimization | 2008-08-14 | Paper |
Financial scenario generation for stochastic multi-stage decision processes as facility location problems
Annals of Operations Research | 2008-03-31 | Paper |
| The value of perfect information as a risk measure | 2008-02-11 | Paper |
Ambiguity in portfolio selection
Quantitative Finance | 2007-10-22 | Paper |
Introduction to the special issue on portfolio construction and risk management
Quantitative Finance | 2007-10-22 | Paper |
On distortion functionals
Statistics & Risk Modeling | 2007-01-30 | Paper |
Polynomial algorithms for pricing path-dependent interest rate instruments
Computational Economics | 2007-01-24 | Paper |
Subdifferential representations of risk measures
Mathematical Programming. Series A. Series B | 2006-09-12 | Paper |
An algorithm for calculating steady state probabilities of \(M/E_r/c/K\) queueing systems
CEJOR. Central European Journal of Operations Research | 2006-06-12 | Paper |
Measuring risk for income streams
Computational Optimization and Applications | 2005-11-16 | Paper |
Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design
SIAM Journal on Optimization | 2005-09-16 | Paper |
| scientific article; zbMATH DE number 2087941 (Why is no real title available?) | 2004-08-11 | Paper |
INVENTORY PROCESSES: QUASI-REGENERATIVE PROPERTY, PERFORMANCE EVALUATION, AND SENSITIVITY ESTIMATION VIA SIMULATION
Stochastic Models | 2004-02-24 | Paper |
Asymptotic ruin probabilities for risk processes with dependent increments.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
A note on the recursive and parallel structure of the Birge and Qi factorization for tree structured linear programs
Computational Optimization and Applications | 2003-04-03 | Paper |
Optimal stochastic single-machine-tardiness scheduling by stochastic branch-and-bound
European Journal of Operational Research | 2002-11-17 | Paper |
| Some remarks on the value-at-risk and the conditional value-at-risk | 2002-10-10 | Paper |
Selected parallel optimization methods for financial management under uncertainty
Parallel Computing | 2002-07-29 | Paper |
On the Glivenko-Cantelli problem in stochastic programming: Linear recourse and extensions
Mathematics of Operations Research | 2001-11-26 | Paper |
Z-theorems: Limits of stochastic equations
Bernoulli | 2001-08-02 | Paper |
The AURORA financial management system: Model and parallel implementation design
Annals of Operations Research | 2001-06-14 | Paper |
| scientific article; zbMATH DE number 1594522 (Why is no real title available?) | 2001-05-06 | Paper |
Average execution times of series-parallel networks
Séminaire Lotharingien de Combinatoire | 2001-02-19 | Paper |
Average execution times of series-parallel networks
Séminaire Lotharingien de Combinatoire | 2001-02-19 | Paper |
Limit theorems for stationary distributions of birth-and-death processes
Communications in Statistics. Stochastic Models | 2000-11-01 | Paper |
| scientific article; zbMATH DE number 1419370 (Why is no real title available?) | 2000-07-19 | Paper |
| scientific article; zbMATH DE number 1462623 (Why is no real title available?) | 2000-06-21 | Paper |
| scientific article; zbMATH DE number 1446112 (Why is no real title available?) | 2000-05-18 | Paper |
| scientific article; zbMATH DE number 1418009 (Why is no real title available?) | 2000-03-19 | Paper |
On the Glivenko-Cantelli problem in stochastic programming: mixed-integer linear recourse.
Mathematical Methods of Operations Research | 1999-10-05 | Paper |
The likelihood ratio test for simple tree order: A useful asymptotic expansion
Journal of Statistical Planning and Inference | 1999-08-23 | Paper |
A branch and bound method for stochastic global optimization
Mathematical Programming. Series A. Series B | 1999-06-03 | Paper |
Stochastic programs and statistical data
Annals of Operations Research | 1999-05-27 | Paper |
Optimal allocation of simulation experiments in discrete stochastic optimization and approximative algorithms
European Journal of Operational Research | 1999-02-28 | Paper |
Distance Testing for Selecting the Best Population
Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics | 1998-01-01 | Paper |
| scientific article; zbMATH DE number 1005357 (Why is no real title available?) | 1997-04-29 | Paper |
| scientific article; zbMATH DE number 926779 (Why is no real title available?) | 1997-03-12 | Paper |
Random planar shapes and their statistical recognition
Annals of Mathematics and Artificial Intelligence | 1996-10-20 | Paper |
Simulated annealing for noisy cost functions
Journal of Global Optimization | 1996-10-13 | Paper |
Asymptotic Stochastic Programs
Mathematics of Operations Research | 1996-06-09 | Paper |
Confidence sets for discrete stochastic optimization
Annals of Operations Research | 1995-08-27 | Paper |
Non-standard limit theorems for urn models and stochastic approximation procedures
Communications in Statistics. Stochastic Models | 1995-04-04 | Paper |
The asymptotic distribution of leaf heights in binary trees
Graphs and Combinatorics | 1993-01-16 | Paper |
The asymptotic contour process of a binary tree is a Brownian excursion
Stochastic Processes and their Applications | 1993-01-16 | Paper |
| scientific article; zbMATH DE number 53271 (Why is no real title available?) | 1992-09-18 | Paper |
A note on the comparison of stationary laws of Markov processes
Statistics & Probability Letters | 1991-01-01 | Paper |
Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size
Monatshefte für Mathematik | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4107970 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4047566 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4102340 (Why is no real title available?) | 1988-01-01 | Paper |
A characterization of translation-invariant experiments admitting adaptive estimates
Journal of Multivariate Analysis | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4062542 (Why is no real title available?) | 1986-01-01 | Paper |
Stochastic Minimization with Constant Step-Size: Asymptotic Laws
SIAM Journal on Control and Optimization | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3852251 (Why is no real title available?) | 1983-01-01 | Paper |
The limiting log-likelihood process for discontinuous density families
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3776663 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3782699 (Why is no real title available?) | 1982-01-01 | Paper |
A statistically important Gaussian process
Stochastic Processes and their Applications | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3770803 (Why is no real title available?) | 1981-01-01 | Paper |
On the Convergence of a Penalty-Type Stochastic Optimization Procedure
Journal of Information and Optimization Sciences | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3651613 (Why is no real title available?) | 1979-01-01 | Paper |
The equivalence of the bishop-de leeuw and the pigou dalton order structures of measures
Rivista di Matematica per le Scienze Economiche e Sociali | 1979-01-01 | Paper |
