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Robust Bounds on Risk-Sensitive Functionals via Rényi Diver..:

Atar, Rami ; Chowdhary, Kenny ; Dupuis, Paul
SIAM/ASA Journal on Uncertainty Quantification.  3 (2015)  1 - p. 18-33 , 2015
Link: https://doi.org/10.1137/130939730