| Publication | Date of Publication | Type |
|---|
Empirical martingale projections via the adapted Wasserstein distance
The Annals of Applied Probability | 2026-03-10 | Paper |
Sparsity of quadratically regularized optimal transport: bounds on concentration and bias
SIAM Journal on Mathematical Analysis | 2026-01-08 | Paper |
On concentration of the empirical measure for radial transport costs
Stochastic Processes and their Applications | 2024-11-12 | Paper |
An optimal transport-based characterization of convex order
Dependence Modeling | 2024-01-24 | Paper |
Continuity of the martingale optimal transport problem on the real line
The Annals of Applied Probability | 2024-01-16 | Paper |
Limits of semistatic trading strategies
Mathematical Finance | 2023-09-28 | Paper |
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
Mathematical Finance | 2023-09-28 | Paper |
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
SIAM Journal on Financial Mathematics | 2023-07-04 | Paper |
Stability of Schrödinger potentials and convergence of Sinkhorn's algorithm
The Annals of Probability | 2023-05-10 | Paper |
Martingale Schrödinger bridges and optimal semistatic portfolios
Finance and Stochastics | 2022-12-28 | Paper |
Entropic optimal transport: convergence of potentials
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2022-10-24 | Paper |
Measuring association with Wasserstein distances
Bernoulli | 2022-09-28 | Paper |
Measuring association with Wasserstein distances
Bernoulli | 2022-09-28 | Paper |
Erratum to: ``The robust superreplication problem: a dynamic approach''
SIAM Journal on Financial Mathematics | 2022-07-22 | Paper |
Estimating processes in adapted Wasserstein distance
The Annals of Applied Probability | 2022-03-21 | Paper |
On a Lusin theorem for capacities
Proceedings of the American Mathematical Society | 2022-02-04 | Paper |
A unified framework for robust modelling of financial markets in discrete time
Finance and Stochastics | 2021-08-27 | Paper |
Robust estimation of superhedging prices
The Annals of Statistics | 2021-03-11 | Paper |
Robust estimation of superhedging prices
The Annals of Statistics | 2021-03-11 | Paper |
Measuring association with Wasserstein distances
(available as arXiv preprint) | 2021-01-30 | Paper |
The robust superreplication problem: a dynamic approach
SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
The robust superreplication problem: a dynamic approach
SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
| Bounding quantiles of Wasserstein distance between true and empirical measure | 2019-07-03 | Paper |
On concentration of the empirical measure for radial transport costs
(available as arXiv preprint) | N/A | Paper |
"On the Martingale Schr\""odinger Bridge between Two Distributions"
(available as arXiv preprint) | N/A | Paper |
Empirical martingale projections via the adapted Wasserstein distance
(available as arXiv preprint) | N/A | Paper |
