3 papers
math.PR2026
Can the - duality be restored for non-dominated families of probability measures?
Irene Klein, Georg Köstenberger
The duality frequently breaks down in the presence of model uncertainty, where a single reference measure is replaced by a non-dominated family of p…
math.PR2026
Quantitative Halmos-Savage theorems and robust large financial markets
Christa Cuchiero, Irene Klein, Georg Köstenberger +1
We establish a quantitative version of the classical Halmos-Savage Theorem for convex, potentially non-dominated sets of probability measures and its dual counterpart, generalizing…
math.ST2024
Sharp oracle inequalities and universality of the AIC and FPE
Moritz Jirak, Georg Köstenberger
In two landmark papers, Akaike introduced the AIC and FPE, demonstrating their significant usefulness for prediction. In subsequent seminal works, Shibata developed a notion of asy…