9 citations · 9 across the 1 of their papers we have counts for
2 papers
math.OC2021★ 9 cited
Foundations of Multistage Stochastic Programming
Paul Dommel, Alois Pichler
Multistage stochastic optimization problems are oftentimes formulated informally in a pathwise way. These are correct in a discrete setting and suitable when addressing computation…
q-fin.RM2020
Convex Risk Measures based on Divergence
Paul Dommel, Alois Pichler
Risk measures connect probability theory or statistics to optimization, particularly to convex optimization. They are nowadays standard in applications of finance and in insurance…