5 citations · 8 across the 3 of their papers we have counts for
3 papers
math.OC2025
Subdifferentials of Convex Operators Valued in the Space of Integrable Functions with Application to Risk-Averse Optimization
Darinka Dentcheva, Andrzej Ruszczynski
We study differentiability properties of convex operators defined on a Banach space with values in an $\Lc_p$ space and of their compositions with monotonic convex functionals on t…
math.OC2017★ 3 cited
A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation
Andrzej Ruszczynski, Jianing Yao
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuati…
math.OC2014★ 5 cited
Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems
Jingnan Fan, Andrzej Ruszczynski
For controlled discrete-time stochastic processes we introduce a new class of dynamic risk measures, which we call process-based. Their main features are that they measure risk of…