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math.PR2017
On a generalization of the Dvoretzky-Wald-Wolfowitz theorem with an application to a robust optimization problem
Anna Jaśkiewicz, Andrzej S. Nowak
A generalization of the Dvoretzky-Wald-Wolfowitz theorem to the case of conditional expectations is provided assuming that the -field on the state space has no conditional atoms…
math.PR2016
Optimal Dividend Payout Model with Risk Sensitive Preferences
Nicole Bäuerle, Anna Jaśkiewicz
We consider a discrete-time dividend payout problem with risk sensitive shareholders. It is assumed that they are equipped with a risk aversion coefficient and construct their disc…