28 citations · 94 across the 10 of their papers we have counts for
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q-fin.RM2015
What's in a ball? Constructing and characterizing uncertainty sets
Thomas Kruse, Judith C. Schneider, Nikolaus Schweizer
In the presence of model risk, it is well-established to replace classical expected values by worst-case expectations over all models within a fixed radius from a given reference m…
stat.CO2015
Perturbation theory for Markov chains via Wasserstein distance
Daniel Rudolf, Nikolaus Schweizer
Perturbation theory for Markov chains addresses the question how small differences in the transitions of Markov chains are reflected in differences between their distributions. We…