| |
| |
 |
Comparison of time-inhomogeneous Markov processes,
Coauthors: A. Schnurr and V. Wolf.
Preprint (Mai 2014)
(pdf).
Submitted to: Electronic Journal of Probability.
|
| |
Risk bounds, worst case dependence and optimal claims and contracts,
Prepring (2011),
Proceedings of the AFMATH Conference, Brussels (2012), 23-36.
(pdf)
|
| |
Bounds for joint portfolios of dependent risks,
Coauthor: G. Puccetti,
Statistics & Risk Modeling 29 (2) (2012), 107-132.
(pdf)
|
| |
Computation of sharp bounds on the distribution of a function of dependent risks,
Coauthor: G. Puccetti,
J. Comp. Appl. Math. 236 (7) (2012), 1833-1840.
(pdf)
|
| |
Comparison of Markov processes via infinitesimal generators,
Coauthor: V. Wolf,
Statistics & Decisions, 28 (2) (2011), 151–168.
(pdf)
|
| |
Worst case portfolio vectors and diversification effects,
Preprint (March 2010; 1st version: Sept. 2009),
Finance and Stochastics 16 (2012), 155-175.
(pdf)
|
| |
On the distributional transform, Sklar's Theorem, and the empirical copula process,
Journal of Statistical Planning and Inference 139 (2009), 3921-3927.
(pdf)
|
| |
On a comparison result for Markov processes,
Journal of Applied Probability 45 (2008), 279-286.
(pdf)
|
| |
On comonotonicity of Pareto optimal risk sharing,
Coauthor: M. Ludkovski,
Statistics and Probability Letters 78 (2008), 1181-1188.
(pdf)
|
| |
Monge-Kantorovich transportation problem and optimal couplings,
to appear in: Jahresbericht der DMV 109 (2007), 113-137.
(pdf)
|
| |
Stochastic ordering of risks, influence of dependence and a.s. constructions,
in: Advances on Models, Characterizations and Applications.
Eds: N. Balakrishnan, I. G. Bairamov, O. L. Gebizlioglu, Chapman & Hall/CRC Press (2005), 19-56.
(pdf)
|
| |
Comparison of multivariate risks and positive dependence,
Journal of Applied Probability 41 (2004), 391-406.
(pdf)
|
| |
Variance minimization and random variables with constant sum,
Coauthor: L. Uckelmann,
Distributions with given marginals. Eds.: Cuadras, et al., Kluwer (2002), 211-222.
(ps)
|
| |
Numerical and analytical results for the transportation problem of Monge-Kantorovich,
Coauthor: L. Uckelmann,
Metrika 51 (2000), 245-258.
(ps)
|
| |
On the Monge-Kantorovich duality theorem,
Coauthor: D. Ramachandran (1998),
Theory Probability Appl., 45 (2000), 350-356.
(ps)
|
| |
An extension of the nonatomic assignment model,
Coauthor: D. Ramachandran,
In: Alkan, Aliprantes, and Yannelis,
Current Trends in Economics, Studies in
Economic Theory 8 (1999), 405-412.
|
| |
Assignment models for constrained marginals and restricted markets,
Coauthor: D. Ramachandran,
Preprint (1997).
Distributions with given marginals. Eds: Cuadras, et al., Kluwer (2002), 211-222.
(ps)
|
| |
On the n-coupling problem,
Coauthor: L. Uckelmann,
Journal Mult. Anal. 81 (2002), 242-258.
(ps)
|
| |
Duality theorems for assignments with upper bounds,
Coauthor: D. Ramachandran,
In Proceedings of Prague 1996 conference on marginal problems,
Eds.: V. Benes, I. Stepan. Kluwer (1997), 283-290.
|
| |
On optimal multivariate couplings,
Coauthor: L. Uckelmann,
In Proceedings of Prague 1996 conference on marginal problems,
Eds.: V. Benes, I. Stepan. Kluwer (1997), 261-274.
(ps)
|
| |
Mass transportation problems in probability theory,
Coauthors: J. Cuesta, C. Matran, S. T. Rachev,
Mathematical Scientist 21 (1996), 34-72.
|
| |
On c-optimal random variables,
Statistics and Prob. Letters 27 (1996), 267-270.
|
| |
Developments on Fréchet bounds,
IMS Lecture Notes 28 (1996), 273-296.
(pdf)
|
| |
A general duality theorem for marginal problems,
Coauthor: D. Ramachandran,
Prob. Theory Rel. Fields 101 (1995), 311-319.
|
|
Optimal solutions of multivariate coupling problems,
Applicationes Mathematicae 23 (1995), 325-338.
(ps)
|
|
On constrained transportation problems,
Coauthor: S. T. Rachev,
Proceedings of 32 IEEE Conference Decision and Control,
Vol. 3 (1994), 2896-2900.
|
|
Solution of some transportation problems with relaxed and additional constraints,
Coauthor: S. T. Rachev,
SIAM Control and Optimization
32 (1994), 673-689.
(pdf)
|
|
Optimal coupling of multivariate distributions and stochastic processes,
Coauthors: J. A. Cuesta-Albertos, A. Tuero-Diaz,
J. Multivariate Analysis 46 (1993), 335-361.
(http://dx.doi.org/10.1006/jmva.1993.1064)
|
|
On conditional stochastic ordering of distributions,
Adv. Appl. Prob. 23 (1991), 46-63.
(DOI: 10.2307/1427511)
|
|
Fréchet bounds and their applications,
In: Advances in Probab. Distributions with given Marginals,
Eds.: G. Dall'Aglio, Kotz and Salinetti, (1991), 151-188.
(pdf)
|
|
Bounds for distributions with multivariate marginals,
In: Stochastic Orders and Decisions, Eds.: K. Mosler, M. Scarsini,
IMS Lecture Notes 19 (1991), 285-310.
(pdf)
|
|
A characterization of random variables with minimum L2 - distance,
Coauthor: S. T. Rachev.
J. Mult. Analysis 32 (1990), 48-54.
(pdf)
|
|
The Wasserstein distance and approximation theorems,
Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete 70 (1985), 117-129.
(pdf)
|
|
Construction of multivariate distributions with given marginals ,
Ann. Inst. Statist. Math. Vol. 37 (1985), Part A, 225-233.
(pdf)
|
|
On the existence of probability measures with given marginals,
Coauthor: N. Gaffke,
Statistics and Decisions 2 (1984), 163-174.
(pdf)
|
|
On the multidimensional assignment problem,
Zeitschrift für Operations Research, Serie A 47 (1983), 107-113.
(pdf)
|
|
Solution of a statistical optimization problem by rearrangement
methods, Metrika 30 (1983), 55-61.
(pdf)
|
|
Random variables with maximum sums,
Adv. Appl. Prob. 14 (1982), 623-632.
(JSTOR)
|
|
Characterization of dependence concepts for the normal distribution,
Ann. Inst. Stat. Math. 33 (1981), 347-359
(pdf)
|
|
Sharpness of Fréchet-bounds,
Zeitschrift für Wahrscheinlichkeitstheorie 57 (1981), 293-302
(pdf)
|
|
Weak association of random variables,
J. Mult. Anal. 11 (1981), 448-451.
|
|
Stochastically ordered distributions and monotonicity of the OC-function of sequential probability ratio tests,
Math. Operationsforsch. Statist., Ser. Statistics, Vol. 12 (1981) No. 3, 327-338.
(pdf)
|
|
On a class of extremal problems in statistics,
Coauthor: N. Gaffke,
Math. Operationsforsch. Statist., Ser. Optimization, Vol. 12 (1981) No. 1, 123-135.
(pdf)
|
|
Inequalities for the expectation of
Δ-monotone functions,
Zeitschrift f. Wahrscheinlichkeitstheorie und verw. Geb., Vol. 54 (1980) 341-349.
(pdf)
|
|
|
