Robust Bounds on Risk-Sensitive Functionals via Rényi Divergence-Reference-Cited by-同舟云学术

Robust Bounds on Risk-Sensitive Functionals via Rényi Divergence

Published:2015-01 Issue:1 Volume:3 Page:18-33
ISSN:2166-2525
Container-title:SIAM/ASA Journal on Uncertainty Quantification
language:en
Short-container-title:SIAM/ASA J. Uncertainty Quantification

Author:

Atar Rami,Chowdhary Kenny,Dupuis Paul

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Discrete Mathematics and Combinatorics,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability

Link

http://epubs.siam.org/doi/pdf/10.1137/130939730

Reference15 articles.

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2. Efficient rare-event simulation for the maximum of heavy-tailed random walks

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4. Distinguishing and integrating aleatoric and epistemic variation in uncertainty quantification

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