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20122022
most citedTime-Consistent Risk Measures for Continuous-Time Markov Chains

2 citations · 2 across the 4 of their papers we have counts for

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math.ST2021

Bias Reduction in Sample-Based Optimization

Darinka Dentcheva, Yang Lin

We consider stochastic optimization problems which use observed data to estimate essential characteristics of the random quantities involved. Sample average approximation (SAA) or…

math.ST2015

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…