Testing hypotheses for measures with different masses: Four optimization problems

DOI10.1090/TPMS/1115zbMATH Open1456.62028OpenAlexW3043604663MaRDI QIDQ3386935FDOQ3386935

Authors: A. A. Gushchin, S. S. Leshchenko 

Publication date: 8 January 2021

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1115

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zbMATH Keywords

convex dualitysaddle pointtesting hypotheses

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Nonparametric hypothesis testing (62G10)

Cites Work

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• The mathematics of arbitrage
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• Extension of Fenchel's duality theorem for convex functions
• Convex Hedging in Incomplete Markets
• Optimale Tests und ungünstigste Verteilungen
• Eine parameterfreie Theorie der ung�nstigsten Verteilungen f�r das Testen von Hypothesen
• Robust efficient hedging for American options: the existence of worst case probability measures
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• A characterization of maximin tests for two composite hypotheses
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• Duality in a Problem of Static Partial Hedging under Convex Constraints
• Partial hedging for defaultable claims
• Efficient hedging of European options with robust convex loss functionals: a dual-representation formula

Cited In (2)

• Analogue of the Neyman-Pearson lemma for several simple hypotheses
• Solving the problem of partial hedging through a dual problem

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