12 citations · 57 across the 23 of their papers we have counts for
4 papers · 1 filter
Geometry Of The Expected Value Set And The Set-Valued Sample Mean Process
Alois Pichler
The law of large numbers extends to random sets by employing Minkowski addition. Above that, a central limit theorem is available for set-valued random variables. The existing resu…
On Banach spaces of vector-valued random variables and their duals motivated by risk measures
Thomas Kalmes, Alois Pichler
We introduce Banach spaces of vector-valued random variables motivated from mathematical finance. So-called risk functionals are defined in a natural way on these Banach spaces and…
Incorporating statistical model error into the calculation of acceptability prices of contingent claims
Martin Glanzer, Georg Ch. Pflug, Alois Pichler
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and…
Fundamental Properties of Process Distances
Julio Backhoff Veraguas, Mathias Beiglböck, Manu Eder +1
Information is an inherent component of stochastic processes and to measure the distance between different stochastic processes it is not sufficient to consider the distance betwee…