Monge-Kantorovich transportation problem, couplings and dependence models
 
 
  Bounds for joint portfolios of dependent risks, Coauthor: G. Puccetti, Preprint (2011). (pdf)
  Computation of sharp bounds on the distribution of a function of dependent risks, Coauthor: G. Puccetti, Preprint (2011). (pdf)
  Comparison of time-inhomogeneous Markov Processes, Coauthor: V. Wolf, Preprint (April 2011).
  Comparison of Markov processes via infinitesimal generators, Coauthor: V. Wolf, to appear in: Statistics & Decisions. (pdf)
  Worst case portfolio vectors and diversification effects, Preprint (March 2010; 1st version: Sept. 2009), to appear in: Finance and Stochastics. (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)  
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) 
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 $\bigtriangleup$-monotone functions, Zeitschrift f. Wahrscheinlichkeitstheorie und verw. Geb., Vol. 54 (1980) 341-349. (pdf)  
  back last update   April 26, 2010