Testing hypotheses for measures with different masses: Four optimization problems

DOI10.1090/TPMS/1115MaRDI QIDQ3386935zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

convex dualitysaddle pointtesting hypotheses

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3145638 (Why is no real title available?)
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• scientific article; zbMATH DE number 6759427 (Why is no real title available?)
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• Efficient hedging of European options with robust convex loss functionals: a dual-representation formula
• Efficient hedging with coherent risk measure
• Efficient hedging: cost versus shortfall risk
• Eine parameterfreie Theorie der ung�nstigsten Verteilungen f�r das Testen von Hypothesen
• Extension of Fenchel's duality theorem for convex functions
• Generalized Neyman-Pearson lemma via convex duality.
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• Optimale Tests und ungünstigste Verteilungen
• Partial hedging for defaultable claims
• Quantile hedging
• Robust efficient hedging for American options: the existence of worst case probability measures
• The mathematics of arbitrage

Cited in

(2)

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

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