1 citations · 1 across the 4 of their papers we have counts for
5 papers
Nonasymptotic upper estimates for errors of the sample average approximation method to solve risk averse stochastic programs
Volker Krätschmer
We study statistical properties of the optimal value of the Sample Average Approximation. The focus is on the tail function of the absolute error induced by the Sample Average Appr…
First order asymptotics of the sample average approximation method to solve risk averse stochastic progams
Volker Krätschmer
We investigate statistical properties of the optimal value of the Sample Average Approximation of stochastic programs, continuing the study in Krätschmer (2023). Central Limit Theo…
A general Kolmogorov-Chentsov type theorem on general metric spaces with applications to limit theorems for Banach-valued processes
Volker Kratschmer, Mikhail Urusov
The paper deals with moduli of continuity for paths of random processes indexed by a general metric space with values in a general metric space . Adapting the mome…
Weak continuity of risk functionals with applications to stochastic programming
Matthias Claus, Volker Krätschmer, Rüdiger Schultz
Measuring and managing risk has become crucial in modern decision making under stochastic uncertainty. In two-stage stochastic programming, mean risk models are essentially defined…
Domains of weak continuity of statistical functionals with a view toward robust statistics
Volker Krätschmer, Alexander Schied, Henryk Zähle
Many standard estimators such as several maximum likelihood estimators or the empirical estimator for any law-invariant convex risk measure are not (qualitatively) robust in the cl…