2 citations · 2 across the 2 of their papers we have counts for
4 papers
Subregular Recourse in Nonlinear Multistage Stochastic Optimization
Darinka Dentcheva, Andrzej Ruszczynski
We consider nonlinear multistage stochastic optimization problems in the spaces of integrable functions. We allow for nonlinear dynamics and general objective functionals, includin…
Time-Consistent Risk Measures for Continuous-Time Markov Chains
Darinka Dentcheva, Andrzej Ruszczynski
We develop an approach to time-consistent risk evaluation of continuous-time processes in Markov systems. Our analysis is based on dual representation of coherent risk measures, di…
Statistical Estimation of Composite Risk Functionals and Risk Optimization Problems
Darinka Dentcheva, Spiridon Penev, Andrzej Ruszczynski
We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures o…
Common Mathematical Foundations of Expected Utility and Dual Utility Theories
Darinka Dentcheva, Andrzej Ruszczynski
We show that the main results of the expected utility and dual utility theories can be derived in a unified way from two fundamental mathematical ideas: the separation principle of…