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VaR\ and CVaR Estimation in a Markov Cost Process: Lower and Upper Bounds.

Sanjay BhatPrashanth L. A.Gugan Thoppe
Published in: CoRR (2023)
Keyphrases
  • lower and upper bounds
  • lower bound
  • upper bound
  • risk measures
  • special case
  • upper and lower bounds
  • expected cost