| Publication | Date of Publication | Type |
|---|
| Multistage stochastic decision problems: approximation by recursive structures and ambiguity modeling | 2023-07-03 | Paper |
| Two-stage stochastic standard quadratic optimization | 2022-02-23 | Paper |
| Identification of hidden Markov chains governing dependent credit-rating migrations | 2021-11-22 | Paper |
| Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation | 2021-07-16 | Paper |
| A new extreme value copula and new families of univariate distributions based on Freund's exponential model | 2021-05-07 | Paper |
| Distributionally robust optimization with multiple time scales: valuation of a thermal power plant | 2021-02-02 | Paper |
| Correction to: ``Distributionally robust optimization with multiple time scales: valuation of a thermal power plant | 2021-02-02 | Paper |
| The distortion principle for insurance pricing: properties, identification and robustness | 2021-01-06 | Paper |
| Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties | 2020-05-26 | Paper |
| Multiscale stochastic optimization: modeling aspects and scenario generation | 2020-02-28 | Paper |
| Modelling cascading effects for systemic risk: properties of the Freund copula | 2020-01-13 | Paper |
| Optimal XL-insurance under Wasserstein-type ambiguity | 2019-09-19 | Paper |
| Projected Stochastic Gradients for Convex Constrained Problems in Hilbert Spaces | 2019-08-27 | Paper |
| Incorporating statistical model error into the calculation of acceptability prices of contingent claims | 2019-04-24 | Paper |
| Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs | 2019-02-20 | Paper |
| Approximations for Probability Distributions and Stochastic Optimization Problems | 2019-01-25 | Paper |
| A review on ambiguity in stochastic portfolio optimization | 2019-01-16 | Paper |
| Systemic risk and copula models | 2018-10-05 | Paper |
| Gradient estimation for discrete-event systems by measure-valued differentiation | 2018-04-16 | Paper |
| Modeling of Dependent Credit Rating Transitions Governed by Industry-Specific Markovian Matrices | 2017-12-01 | Paper |
| Incorporating model uncertainty into optimal insurance contract design | 2017-11-23 | Paper |
| Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence | 2017-04-04 | Paper |
| Time-inconsistent multistage stochastic programs: martingale bounds | 2016-10-07 | Paper |
| From empirical observations to tree models for stochastic optimization: convergence properties | 2016-09-02 | Paper |
| Time-consistent decisions and temporal decomposition of coherent risk functionals | 2016-05-19 | Paper |
| Perturbation analysis of inhomogeneous finite Markov chains | 2016-05-17 | Paper |
| Bounds and approximations for multistage stochastic programs | 2016-03-30 | Paper |
| Dynamic generation of scenario trees | 2016-01-07 | Paper |
| On distributionally robust multiperiod stochastic optimization | 2015-07-21 | Paper |
| Stochastic vs deterministic programming in water management: the value of flexibility | 2015-02-27 | Paper |
| Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches | 2015-02-04 | Paper |
| Multistage Stochastic Optimization | 2014-08-12 | Paper |
| ARE TIME CONSISTENT VALUATIONS INFORMATION MONOTONE? | 2014-04-25 | Paper |
| Shape-restricted nonparametric regression with overall noisy measurements | 2013-06-24 | Paper |
| A distance for multistage stochastic optimization models | 2012-08-22 | Paper |
| Asymptotic distribution of law-invariant risk functionals | 2011-11-27 | Paper |
| Multi-Stage Stochastic Electricity Portfolio Optimization in Liberalized Energy Markets | 2011-06-01 | Paper |
| A note on pivotal Value-at-Risk estimates | 2010-09-28 | Paper |
| A difference of convex formulation of value-at-risk constrained 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 | 2009-12-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5324637 | 2009-08-03 | Paper |
| Optimal pension fund management under multi-period risk minimization | 2009-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3598063 | 2009-01-30 | Paper |
| Modeling, measuring and managing risk | 2008-10-02 | Paper |
| Tree Approximations of Dynamic Stochastic Programs | 2008-08-14 | Paper |
| Financial scenario generation for stochastic multi-stage decision processes as facility location problems | 2008-03-31 | Paper |
| The value of perfect information as a risk measure | 2008-02-11 | Paper |
| Introduction to the special issue on portfolio construction and risk management | 2007-10-22 | Paper |
| Ambiguity in portfolio selection | 2007-10-22 | Paper |
| On distortion functionals | 2007-01-30 | Paper |
| Polynomial algorithms for pricing path-dependent interest rate instruments | 2007-01-24 | Paper |
| Subdifferential representations of risk measures | 2006-09-12 | Paper |
| An algorithm for calculating steady state probabilities of \(M/E_r/c/K\) queueing systems | 2006-06-12 | Paper |
| Measuring risk for income streams | 2005-11-16 | Paper |
| Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design | 2005-09-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4738978 | 2004-08-11 | Paper |
| INVENTORY PROCESSES: QUASI-REGENERATIVE PROPERTY, PERFORMANCE EVALUATION, AND SENSITIVITY ESTIMATION VIA SIMULATION | 2004-02-24 | Paper |
| Asymptotic ruin probabilities for risk processes with dependent increments. | 2003-11-16 | Paper |
| A note on the recursive and parallel structure of the Birge and Qi factorization for tree structured linear programs | 2003-04-03 | Paper |
| Optimal stochastic single-machine-tardiness scheduling by stochastic branch-and-bound | 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 | 2002-07-29 | Paper |
| On the Glivenko-Cantelli problem in stochastic programming: Linear recourse and extensions | 2001-11-26 | Paper |
| Z-theorems: Limits of stochastic equations | 2001-08-02 | Paper |
| The AURORA financial management system: Model and parallel implementation design | 2001-06-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2712312 | 2001-05-06 | Paper |
| Average execution times of series-parallel networks | 2001-02-19 | Paper |
| Limit theorems for stationary distributions of birth-and-death processes | 2000-11-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4942384 | 2000-07-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4486940 | 2000-06-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4953785 | 2000-05-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4944272 | 2000-03-19 | Paper |
| On the Glivenko-Cantelli problem in stochastic programming: mixed-integer linear recourse. | 1999-10-05 | Paper |
| The likelihood ratio test for simple tree order: A useful asymptotic expansion | 1999-08-23 | Paper |
| A branch and bound method for stochastic global optimization | 1999-06-03 | Paper |
| Stochastic programs and statistical data | 1999-05-27 | Paper |
| Optimal allocation of simulation experiments in discrete stochastic optimization and approximative algorithms | 1999-02-28 | Paper |
| Distance Testing for Selecting the Best Population | 1998-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4335417 | 1997-04-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4892202 | 1997-03-12 | Paper |
| Random planar shapes and their statistical recognition | 1996-10-20 | Paper |
| Simulated annealing for noisy cost functions | 1996-10-13 | Paper |
| Asymptotic Stochastic Programs | 1996-06-09 | Paper |
| Confidence sets for discrete stochastic optimization | 1995-08-27 | Paper |
| Non-standard limit theorems for urn models and stochastic approximation procedures | 1995-04-04 | Paper |
| The asymptotic distribution of leaf heights in binary trees | 1993-01-16 | Paper |
| The asymptotic contour process of a binary tree is a Brownian excursion | 1993-01-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4003497 | 1992-09-18 | Paper |
| A note on the comparison of stationary laws of Markov processes | 1991-01-01 | Paper |
| Non-asymptotic confidence bounds for stochastic approximation algorithms with constant step size | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3831894 | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3783931 | 1988-01-01 | Paper |
| A characterization of translation-invariant experiments admitting adaptive estimates | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3827439 | 1988-01-01 | Paper |
| Stochastic Minimization with Constant Step-Size: Asymptotic Laws | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3796692 | 1986-01-01 | Paper |
| The limiting log-likelihood process for discontinuous density families | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3321277 | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3960432 | 1982-01-01 | Paper |
| A statistically important Gaussian process | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3956225 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3951418 | 1981-01-01 | Paper |
| On the Convergence of a Penalty-Type Stochastic Optimization Procedure | 1981-01-01 | Paper |
| The equivalence of the bishop-de leeuw and the pigou dalton order structures of measures | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3851475 | 1979-01-01 | Paper |
