Related papers: The Fatou Closedness under Model Uncertainty
We examine the convexity and tractability of the two-sided linear chance constraint model under Gaussian uncertainty. We show that these constraints can be applied directly to model a larger class of nonlinear chance constraints as well as…
The Lebesgue property (order-continuity) of a monotone convex function on a solid vector space of measurable functions is characterized in terms of (1) the weak inf-compactness of the conjugate function on the order-continuous dual space,…
In this thesis, the main objects of study are probability measures on the isomorphism classes of countable, connected rooted graphs. An important class of such measures is formed by unimodular measures, which satisfy a certain equation,…
We characterize probability measure with finite moment of any order in terms of the symmetric difference operators of their Fourier transforms. By using our new characterization, we prove the continuity $f(t,v)\in C((0, \infty),L^1_{2k-2…
We propose a novel class of convex risk measures, based on the concept of the Fr\'echet mean, designed in order to handle uncertainty which arises from multiple information sources regarding the risk factors of interest. The proposed risk…
We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete stochastic processes over a finite time horizon. These…
We analyze various uncertainty measures for spatial diffusion processes. In this manifestly non-quantum setting, we focus on the existence issue of complementary pairs whose joint dispersion measure has strictly positive lower bound.
In this work we deal with the stochastic homogenization of the initial boundary value problems of monotone type. The models of monotone type under consideration describe the deformation behaviour of inelastic materials with a microstructure…
We consider capacity (fuzzy measure, non-additive probability) on a compactum as a monotone cooperative normed game. We introduce topological analogues of well known class of exact games and show that these classes form subfunctors of the…
In this paper, we study convex risk measures with weak optimal transport penalties. In a first step, we show that these risk measures allow for an explicit representation via a nonlinear transform of the loss function. In a second step, we…
Locally $L^0$-convex modules were introduced in [D. Filipovic, M. Kupper, N. Vogelpoth. Separation and duality in locally $L^0$-convex modules. J. Funct. Anal. 256(12), 3996-4029 (2009)] as the analytic basis for the study of conditional…
We introduce a continuous analog of the Fourier ratio for compactly supported Borel measures. For a measure \(\mu\) on \(\mathbb{R}^d\) and \(f\in L^2(\mu)\), the Fourier ratio compares \(L^1\) and \(L^2\) norms of a regularized Fourier…
We provide a variety of results for (quasi)convex, law-invariant functionals defined on a general Orlicz space, which extend well-known results in the setting of bounded random variables. First, we show that Delbaen's representation of…
We consider robust estimation of wrapped models to multivariate circular data that are points on the surface of a $p$-torus based on the weighted likelihood methodology.Robust model fitting is achieved by a set of weighted likelihood…
We introduce the concept of partial law invariance, generalizing the concepts of law invariance and probabilistic sophistication widely used in decision theory, as well as statistical and financial applications. This new concept is…
A general theory of resource-bounded measurability and measure is developed. Starting from any feasible probability measure $\nu$ on the Cantor space $\C$ and any suitable complexity class $C \subseteq \C$, the theory identifies the subsets…
To provide a solid analytic foundation for the module approach to conditional risk measures, this paper establishes a complete random convex analysis over random locally convex modules by simultaneously considering the two kinds of…
We extend the weak-strong uniqueness principle to general models of compressible viscous fluids near/on the vacuum. In particular, the physically relevant case of positive density with polynomial decay at infinity is considered.
We study the sequential testing problem of two alternative hypotheses regarding an unknown parameter in an exponential family when observations are costly. In a Bayesian setting, the problem can be embedded in a Markovian framework. Using…
The variation distance closure of an exponential family with a convex set of canonical parameters is described, assuming no regularity conditions. The tools are the concepts of convex core of a measure and extension of an exponential…