Worst-case large deviations upper bounds for i.i.d. sequences under ambiguity

DOI10.3906/MAT-1607-20zbMATH Open1424.60027OpenAlexW2790636115MaRDI QIDQ4633747FDOQ4633747

Authors: Mustafa Ç. Pınar 

Publication date: 3 May 2019

Published in: Turkish Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3906/mat-1607-20

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zbMATH Keywords

large deviationsambiguityrobust optimizationLegendre-Fenchel transformmin-max theoremellipsoids

Mathematics Subject Classification ID

Large deviations (60F10) Minimax problems in mathematical programming (90C47)

Cites Work

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• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations
• On Cramér's theorem for capacities
• Worst-case large-deviation asymptotics with application to queueing and information theory
• Robust large deviations performance analysis for large sample detectors

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