Stephan Eckstein

MaRDI QIDQ2020304zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Stability and sample complexity of divergence regularized optimal transport Bernoulli	2024-11-05	Paper
Convergence rates for regularized optimal transport via quantization Mathematics of Operations Research	2024-06-27	Paper
Computational methods for adapted optimal transport The Annals of Applied Probability	2024-04-09	Paper
Computational methods for adapted optimal transport The Annals of Applied Probability	2024-04-09	Paper
Quantitative stability of regularized optimal transport and convergence of Sinkhorn's algorithm SIAM Journal on Mathematical Analysis	2022-11-18	Paper
Marginal and dependence uncertainty: bounds, optimal transport, and sharpness SIAM Journal on Control and Optimization	2022-03-01	Paper
Limits of random walks with distributionally robust transition probabilities Electronic Communications in Probability	2022-01-06	Paper
Martingale transport with homogeneous stock movements Quantitative Finance	2021-06-02	Paper
Robust pricing and hedging of options on multiple assets and its numerics SIAM Journal on Financial Mathematics	2021-05-04	Paper
Computation of optimal transport and related hedging problems via penalization and neural networks Applied Mathematics and Optimization	2021-04-23	Paper
Robust risk aggregation with neural networks Mathematical Finance	2021-03-23	Paper
Extended Laplace principle for empirical measures of a Markov chain Advances in Applied Probability	2019-12-09	Paper
Stability and Sample Complexity of Divergence Regularized Optimal Transport (available as arXiv preprint)	N/A	Paper
Optimal nonparametric estimation of the expected shortfall risk (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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