Föllmer, H. and Schied, A. (2004) Stochastic Finance: An Introduction in Discrete Time. 2nd Edition, Walter de Gruyter, Berlin.
http://dx.doi.org/10.1515/9783110212075

has been cited by the following article:

• TITLE: On Historical Value at Risk under Distribution Uncertainty

  AUTHORS: Atsushi Iizuka, Yumiharu Nakano

  KEYWORDS: Value-at-Risk, Sublinear Expectation, Capacities, Glivenko-Cantelli Lemma

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.2, April 10, 2015

  ABSTRACT: We investigate the asymptotics of the historical value-at-risk under capacities defined by sublinear expectations. By generalizing Glivenko-Cantelli lemma, we show that the historical value-at-risk eventually lies between the upper and lower value-at-risks quasi surely.