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Choosing a random distribution with prescribed risks

Cascos, Ignacio; Molčanov, Il'ja S. - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 599-605

Persistent link: https://www.econbiz.de/10009763578

Applications of random set theory in econometrics

Molčanov, Il'ja S.; Molinari, Francesca - In: Annual review of economics 6 (2014), pp. 229-251

Persistent link: https://www.econbiz.de/10011380015

Nonlinear expectations of random sets

Molčanov, Il'ja S.; Mühlemann, Anja - In: Finance and stochastics 25 (2021) 1, pp. 5-41

Persistent link: https://www.econbiz.de/10012433510

Consumption-investment problem with transaction costs for Lévy-driven price processes

Vallière, Dimitri De; Kabanov, Jurij M.; Lépinette, … - In: Finance and stochastics 20 (2016) 3, pp. 705-740

Persistent link: https://www.econbiz.de/10011531437

Diffusion equations : convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions

Baptiste, Julien; Lépinette, Emmanuel - In: Applied mathematical finance 25 (2018) 5/6, pp. 511-532

Persistent link: https://www.econbiz.de/10012129179

Applications of Random Set Theory in Econometrics

Molchanov, Ilya - 2014

In recent years, the econometrics literature has shown a growing interest in the study of partially identified models, in which the object of economic and statistical interest is a set rather than a point. The characterization of this set and the development of consistent estimators and...

Persistent link: https://www.econbiz.de/10013049448