Alexander Schied

activity

19982025

most citedOn the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals

74 citations · 184 across the 30 of their papers we have counts for

collaborators

Showing 2021Show all

2 papers · 1 filter

math.ST2021★ 1 cited

The roughness exponent and its model-free estimation

Xiyue Han, Alexander Schied

Motivated by pathwise stochastic calculus, we say that a continuous real-valued function $x$ admits the roughness exponent $R$ if the $p^{th}$ variation of $x$ converges to…

math.PR2021

A limit theorem for Bernoulli convolutions and the $Φ$ -variation of functions in the Takagi class

Xiyue Han, Alexander Schied, Zhenyuan Zhang

We consider a probabilistic approach to compute the Wiener--Young $Φ$ -variation of fractal functions in the Takagi class. Here, the $Φ$ -variation is understood as a generalization…

The roughness exponent and its model-free estimation

A limit theorem for Bernoulli convolutions and the Φ-variation of functions in the Takagi class

A limit theorem for Bernoulli convolutions and the $Φ$ -variation of functions in the Takagi class