zbMath0990.60500MaRDI QIDQ1391756
Ludger Rüschendorf, Svetlozar T. Rachev
Publication date: 22 July 1998
Published in: Springer Series in Statistics (Search for Journal in Brave)
HIGHER-ORDER RUNGE-KUTTA METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS WITH A NON-DEGENERATE DIFFUSION MATRIX,
Center-Outward R-Estimation for Semiparametric VARMA Models,
Geometric Averages of Partitioned Datasets,
A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria,
On the matrix Monge–Kantorovich problem,
Mallows Distance in VARFIMA(0,d, 0) Processes,
Unnamed Item,
Portfolio optimization with a prescribed terminal wealth distribution,
Genetic Column Generation: Fast Computation of High-Dimensional Multimarginal Optimal Transport Problems,
Tractable Relaxations of Composite Functions,
Worst portfolios for dynamic monetary utility processes,
Distributionally Robust Linear and Discrete Optimization with Marginals,
𝐿₁-distortion of Wasserstein metrics: A tale of two dimensions,
Weak transport for non‐convex costs and model‐independence in a fixed‐income market,
Optimization of urban transport; an alternative to checkerboard towns plans,
Preconditioning of Optimal Transport,
Maximal Monotonicity and Cyclic Involutivity of Multiconjugate Convex Functions,
Second order derivative of a functional associated to an optimal transport map,
Independent Nonlinear Component Analysis,
On Mean Field Games models for exhaustible commodities trade,
Limit distributions and sensitivity analysis for empirical entropic optimal transport on countable spaces,
A duality-based proof of the triangle inequality for the Wasserstein distances,
Supermartingale Brenier's theorem with full-marginals constraint,
A strong duality principle for equivalence couplings and total variation,
Bounds on Choquet risk measures in finite product spaces with ambiguous marginals,
An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems,
Free energy upper bound for mean-field vector spin glasses,
Monge-Kantorovich optimal transport through constrictions and flow-rate constraints,
Mini-Batch Risk Forms,
Splitting methods and short time existence for the master equations in mean field games,
Convergence of a particle method for a regularized spatially homogeneous Landau equation,
One Dimensional Martingale Rearrangement Couplings,
An optimal transport-based characterization of convex order,
Asymptotics for Strassen's optimal transport problem,
Measuring linear correlation between random vectors,
Remarks on Nash equilibria in mean field game models with a major player,
KMT Theory Applied to Approximations of SDE,
A note on global regularity in optimal transportion,
ON THE MONGE–AMPÈRE EQUATION IN INFINITE DIMENSIONS,
A general existence result for the principal-agent problem with adverse selection,
A dual to Lyapunov's stability theorem,
Extension of the Cameron-Martin theorem to random translations,
Optimal Financial Portfolios,
Optimal transportation on non-compact manifolds,
THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM,
Interpolation of matrices and matrix-valued densities: The unbalanced case,
Quantifying Distributional Model Risk via Optimal Transport,
Mathematical methods in medical image processing,
Robust Wasserstein profile inference and applications to machine learning,
On c-cyclical monotonicity for optimal transport problem with Coulomb cost,
One-dimensional empirical measures, order statistics, and Kantorovich transport distances,
Coupling distances between Lévy measures and applications to noise sensitivity of SDE,
BOUNDS ON MULTI-ASSET DERIVATIVES VIA NEURAL NETWORKS,
Two-sample least squares projection,
Common Information, Noise Stability, and Their Extensions,
Inducing Any Feasible Level of Correlation to Bivariate Data With Any Marginals,
Empirical Regularized Optimal Transport: Statistical Theory and Applications,
On the Calibration of Lévy Driven Time Series with Coupling Distances and an Application in Paleoclimate,
On the Monge-Kantorovich problem with additional linear constraints,
Rate of convergence of the Nanbu particle system for hard potentials and Maxwell molecules,
Canonical supermartingale couplings,
On the relation between optimal transport and Schrödinger bridges: a stochastic control viewpoint,
Quantitative propagation of chaos for generalized Kac particle systems,
Distributionally robust mixed integer linear programs: persistency models with applications,
An efficient algorithm for matrix-valued and vector-valued optimal mass transport,
A characterization for solutions of the Monge-Kantorovich mass transport problem,
A probabilistic approach to mean field games with major and minor players,
Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications,
An explicit martingale version of the one-dimensional Brenier theorem,
Rates of convergence for robust geometric inference,
Limit laws of the empirical Wasserstein distance: Gaussian distributions,
Matching for teams,
Optimal transportation and the falsifiability of incompletely specified economic models,
Nonlinear stochastic programming-with a case study in continuous switching,
Regenerative block-bootstrap for Markov chains,
Bounds for functions of dependent risks,
Sharp Gagliardo-Nirenberg inequalities and mass transport theory,
The Monge problem for supercritical Mañé potentials on compact manifolds,
An approximation scheme for the Kantorovich-Rubinstein problem on compact spaces,
Concentration for Coulomb gases and Coulomb transport inequalities,
Duality theorem for the stochastic optimal control problem,
The Monge problem in Banach spaces,
Kac's program in kinetic theory,
Optimal transport from Lebesgue to Poisson,
The implementation of Milstein scheme in two-dimensional SDEs using the Fourier method,
On the layered nearest neighbour estimate, the bagged nearest neighbour estimate and the random forest method in regression and classification,
The Monge problem for strictly convex norms in \(\mathbb R^d\),
The empirical cost of optimal incomplete transportation,
Optimal transportation under controlled stochastic dynamics,
A glimpse into the differential topology and geometry of optimal transport,
On the local theory of prescribed Jacobian equations,
Sticky particle dynamics with interactions,
Minimax rates of convergence for Wasserstein deconvolution with supersmooth errors in any dimension,
Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics,
Distribution functions, extremal limits and optimal transport,
Quaternionic Monge-Ampère equations,
Local curvature-dimension condition implies measure-contraction property,
A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf,
Insurance pricing under ambiguity,
A new kind of modified transportation cost inequalities and polynomial concentration inequalities,
Numerical analysis of generalised max-plus eigenvalue problems.,
On duality for a generalized Monge--Kantorovich problem.,
Kantorovich distance in the martingale CLT and quantitative homogenization of parabolic equations with random coefficients,
Wasserstein-divergence transportation inequalities and polynomial concentration inequalities,
Worst case risk measurement: back to the future?,
On the Kantorovich-Rubinstein theorem,
Optimal mass transportation in the Heisenberg group.,
First-order global asymptotics for confined particles with singular pair repulsion,
Optimal mass transport and symmetric representations of their cost functions,
Characterizing a comonotonic random vector by the distribution of the sum of its components,
Symmetric Monge-Kantorovich problems and polar decompositions of vector fields,
A numerical method for some stochastic differential equations with multiplicative noise,
The \(L^\infty\) optimal transport: infinite cyclical monotonicity and the existence of optimal transport maps,
Dual potentials for capacity constrained optimal transport,
Vector quantization and clustering in the presence of censoring,
On the rate of convergence in Wasserstein distance of the empirical measure,
Existence and uniqueness of optimal maps on Alexandrov spaces,
Partial identification of functionals of the joint distribution of ``potential outcomes, On optimal partitions, individual values and cooperative games: does a wiser agent always produce a higher value?, Mass transport and variants of the logarithmic Sobolev inequality, Tightness and duality of martingale transport on the Skorokhod space, A metaheuristic for a numerical approximation to the mass transfer problem, Synchronising and non-synchronising dynamics for a two-species aggregation model, On Monge-Kantorovich problem in the plane, Uniqueness and approximate computation of optimal incomplete transportation plans, A Monge-Kantorovich mass transport problem for a discrete distance, On the \(n\)-coupling problem, Free boundaries in optimal transport and Monge-Ampère obstacle problems, A survey of max-type recursive distributional equations, Problems of optimal transportation on the circle and their mechanical applications, Towards a simultaneous Skorohod theorem, Mass transport generated by a flow of Gauss maps, Uniform convexity and smoothness, and their applications in Finsler geometry, An algorithm to approximate the optimal expected inner product of two vectors with given marginals, A class of total variation minimization problems on the whole space, An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint, On the Monge-Ampère equatin on Wiener space, A new class of transport distances between measures, Optimal and better transport plans, Well-posedness of the spatially homogeneous Landau equation for soft potentials, Shuffles of copulas, Invariant transports of stationary random measures and mass-stationarity, Extending Lipschitz and Hölder maps between metric spaces, Invertibility of functional Galois connections, A note on deterministic approximation of discounted Markov decision processes, Generalization of an inequality by Talagrand and links with the logarithmic Sobolev inequality, Bounds for the sum of dependent risks having overlapping marginals, Multivariate comonotonicity, The Wasserstein gradient flow of the Fisher information and the quantum drift-diffusion equation, Constructing a relativistic heat flow by transport time steps, Contributions of empirical and quantile processes to the asymptotic theory of goodness-of-fit tests. (With comments), Transport inequalities on Euclidean spaces for non-Euclidean metrics, Monge problem for \(n\) probabilities, Safety-first analysis and stable Paretian approach to portfolio choice theory, Equivalence between duality and gradient flow solutions for one-dimensional aggregation equations, Invariance properties of the Monge-Kantorovich mass transport problem, Tree approximation for discrete time stochastic processes: a process distance approach, Contractions in the 2-Wasserstein length space and thermalization of granular media, Fine properties of the optimal Skorokhod embedding problem, Rates of convergence for the empirical quantization error, On deterministic solutions for multi-marginal optimal transport with Coulomb cost, On extremal problems for pairs of uniformly distributed sequences and integrals with respect to copula measures, Monge's problem with a quadratic cost by the zero-noise limit of \(h\)-path processes, The directional optimal transport, Mean-field Markov decision processes with common noise and open-loop controls, Entropical optimal transport, Schrödinger's system and algorithms, Coordinate-wise transformation of probability distributions to achieve a Stein-type identity, The nested Sinkhorn divergence to learn the nested distance, Equivalence of ray monotonicity properties and classification of optimal transport maps for strictly convex norms, Limit laws for empirical optimal solutions in random linear programs, Frameworks and results in distributionally robust optimization, Continuity and estimates for multimarginal optimal transportation problems with singular costs, Convergence analysis of upwind type schemes for the aggregation equation with pointy potential, From optimal transportation to optimal teleportation, Convergence order of upwind type schemes for transport equations with discontinuous coefficients, Asymptotics of one-dimensional Lévy approximations, Product assortment and space allocation strategies to attract loyal and non-loyal customers, Exponential and Laplace approximation for occupation statistics of branching random walk, A framework for optimization under ambiguity, An axiomatic approach to intrinsic dimension of a dataset, On quasi-stationary mean field games models, Explicit order \( \frac{3}{2} \) Runge-Kutta method for numerical solutions of stochastic differential equations by using Itô-Taylor expansion, Optimization formulation and monotonic solution method for the Witsenhausen problem, The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms, Fundamental properties of process distances, Structural results on convexity relative to cost functions, Remarks on the Monge-Kantorovich problem in the discrete setting, Constrained optimal transport, Optimal entropy-transport problems and a new Hellinger-Kantorovich distance between positive measures, On the empirical estimation of integral probability metrics, A multi-objective interpretation of optimal transport, Deconvolution for the Wasserstein metric and geometric inference, Note on qualitative robustness of multivariate sample mean and median, Evolution of the Wasserstein distance between the marginals of two Markov processes, A note on duality theorems in mass transportation, Logarithmic divergences from optimal transport and Rényi geometry, Concentration order on a metric space, with some statistical applications, Characterization of toric systems via transport costs, Strong modified transportation cost inequalities on \(k\)-concave probability measures with heavy tails, An introduction to mean field game theory, Forward and backward stochastic differential equations with normal constraints in law, Optimal transport: discretization and algorithms, The multistochastic Monge-Kantorovich problem, Rényi 100, quantitative and qualitative (in)dependence, The globalization theorem for the curvature-dimension condition, On weak super Ricci flow through neckpinch, Implementable coupling of Lévy process and Brownian motion, Antithetic multilevel sampling method for nonlinear functionals of measure, Martingales associated to peacocks using the curtain coupling, On a Kantorovich problem with a density constraint, Regularity of Schrödinger's functional equation in the weak topology and moment measures, A parametric registration model for warped distributions with Wasserstein's distance, A new approach to quantitative propagation of chaos for drift, diffusion and jump processes, Estimation of probability mixture., Convergence, fluctuations and large deviations for finite state mean field games via the master equation, A note on the Monge-Kantorovich problem in the plane, Convexity inequalities and optimal transport of infinite-dimensional measures, Convex functionals of probability measures and nonlinear diffusions on manifolds, Stochastic optimal transport revisited, New dependence coefficients. Examples and applications to statistics, A new family of one dimensional martingale couplings, A semigroup approach to harmonic maps, A unified approach to coupling SDEs driven by Lévy noise and some applications, On the Kantorovich problem with a parameter, Measure solutions to a system of continuity equations driven by Newtonian nonlocal interactions, Martingale optimal transport in the discrete case via simple linear programming techniques, Extremal dependence concepts, Linear stochastic dyadic model, Empirical optimal transport on countable metric spaces: distributional limits and statistical applications, Quadratically regularized optimal transport, Risk-sensitive mean field games via the stochastic maximum principle, On the computation of Wasserstein barycenters, Generalized transportation cost spaces, Risk excess measures induced by hemi-metrics, Computational methods for martingale optimal transport problems, Projected gradient method combined with homotopy techniques for volume-measure-preserving optimal mass transportation problems, Kantorovich problems and conditional measures depending on a parameter, Bivariate distributions with ordered marginals, Global regularity for the Monge-Ampère equation with natural boundary condition, Data-driven stochastic programming with distributionally robust constraints under Wasserstein distance: asymptotic properties, Strong equivalence between metrics of Wasserstein type, The Markov-quantile process attached to a family of marginals, On the equality of values in the Monge and Kantorovich problems, Kantorovich problems with a parameter and density constraints, Stochastic monotonicity from an Eulerian viewpoint, A variational interpretation of general relativity in a vacuum in terms of optimal transport, A simple Fourier analytic proof of the AKT optimal matching theorem, Optimal control of diffusion processes with terminal constraint in law, Existence of solutions to the nonlinear Kantorovich transportation problem, Approximation of SDE solutions using local asymptotic expansions, Kantorovich-Rubinstein distance and barycenter for finitely supported measures: foundations and algorithms, Nonlinear Kantorovich problems with a parameter, Virtual persistence diagrams, signed measures, Wasserstein distances, and Banach spaces, Entropic optimal transport: geometry and large deviations, General construction and classes of explicit \(L^1\)-optimal couplings, Stability estimation of some Markov controlled processes, Optimal transport with some directed distances, Problem-based optimal scenario generation and reduction in stochastic programming, METRIZATION OF STOCHASTIC DOMINANCE RULES, The expected bit complexity of the von Neumann rejection algorithm, A Note on ‘Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options’ by Tankov (2011), Solution of the Monge-Ampère equation on Wiener space for general log-concave measures, Optimal flow through the disordered lattice, A saddle-point approach to the Monge-Kantorovich optimal transport problem, Non-Archimedean transportation problems and Kantorovich ultra-norms, Optimal transport maps for Monge-Kantorovich problem on loop groups, Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?, Maxima and Minima of Overall Survival Functions with Fixed Marginal Distributions and Transmission of Technology, Transport Map Accelerated Markov Chain Monte Carlo, Entropic and Displacement Interpolation: A Computational Approach Using the Hilbert Metric, Vector and Matrix Optimal Mass Transport: Theory, Algorithm, and Applications, A large deviation approach to some transportation cost inequalities, Note on stability estimation in average Markov control processes, Weak Solutions for First Order Mean Field Games with Local Coupling, One-Dimensional Granular System with Memory Effects, Optimal couplings are totally positive and more, SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL, Unnamed Item, Vector-Valued Optimal Mass Transport, Particles systems and numerical schemes for mean reflected stochastic differential equations, Computing the Monge-Kantorovich distance, Vector quantile regression beyond the specified case, Extremal flows in Wasserstein space, Many-particle limit for a system of interaction equations driven by Newtonian potentials, Martingale optimal transport duality, Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints, Two End Points Marginal Problem by Stochastic Optimal Transportation, Data-driven risk-averse stochastic optimization with Wasserstein metric, Best finite constrained approximations of one-dimensional probabilities, Convex duality in nonlinear optimal transport, Unnamed Item, Wasserstein distance on configuration space, Mass transportation and the consistency of the empirical optimal conditional locations, Monge properties, discrete convexity and applications, On Kantorovich problems with a parameter, Pythagoras Theorem in noncommutative geometry, Unnamed Item, Numerical methods for Stochastic differential equations: two examples, A remark on the optimal transport between two probability measures sharing the same copula, Unnamed Item, Lipschitz minorants of Brownian motion and Lévy processes, Wasserstein Geometry of Quantum States and Optimal Transport of Matrix-Valued Measures, Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme, The Monge problem on non-compact manifolds, Causal transport plans and their Monge–Kantorovich problems, On the consistency of the mass transfer problem, A note on scenario reduction for two-stage stochastic programs, How close are time series to power tail Lévy diffusions?, On Sudakov’s type decomposition of transference plans with norm costs, THE EFFECTIVE POTENTIAL AND TRANSSHIPMENT IN THERMODYNAMIC FORMALISM AT ZERO TEMPERATURE, Rotation numbers for measure-valued circle maps, On the sufficiency of \(c\)-cyclical monotonicity for optimality of transport plans, Extended least action principle for steady flows under a prescribed flux, Maximum Flows and Minimum Cuts in the Plane, Equilibrium structure of a bidimensional asymmetric city, Duality for Borel measurable cost functions, Constructing optimal maps for Monge’s transport problem as a limit of strictly convex costs, Approximation of distributions, Monge’s transport problem on a Riemannian manifold, Snowflake universality of Wasserstein spaces, On the geometry of metric measure spaces. I, On the Computation of Optimal Transport Maps Using Gradient Flows and Multiresolution Analysis, MINIMAX PROBABILITIES FOR AUBRY–MATHER PROBLEMS, Topical functions: Hermite-Hadamard type inequalities and Kantorovich duality, Optimal Multiphase Transportation with prescribed momentum, How to show that some rays are maximal transport rays in Monge Problem, Wasserstein Dictionary Learning: Optimal Transport-Based Unsupervised Nonlinear Dictionary Learning, Integration of virtually continuous functions over bistochastic measures and the trace formula for nuclear operators, Density and cost in nonlinear control, On Kac's chaos and related problems, Tensor-SIFT based earth mover's distance for contour tracking, Counterexamples in multimarginal optimal transport with Coulomb cost and spherically symmetric data, Numerical resolution of an “unbalanced” mass transport problem, From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties, Barycenters for the Hellinger--Kantorovich Distance Over $\mathbb{R}^d$, Backward simulation of multivariate mixed Poisson processes, A Mutation-Selection Model with Recombination for General Genotypes, Smooth feasible solutions to a dual Monge–Kantorovich problem with applications to best approximation and utility theory in mathematical economics, A multitype sticky particle construction of Wasserstein stable semigroups solving one-dimensional diagonal hyperbolic systems with large monotonic data, Differential Geometric Heuristics for Riemannian Optimal Mass Transportation, Constructing time-homogeneous generalized diffusions consistent with optimal stopping values, Stochastic Control Liaisons: Richard Sinkhorn Meets Gaspard Monge on a Schrödinger Bridge, On multistochastic Monge-Kantorovich problem, bitwise operations, and fractals, Regeneration-based statistics for Harris recurrent Markov chains, Finite stateN-agent and mean field control problems, Existence, duality, and cyclical monotonicity for weak transport costs, Mean reflected stochastic differential equations with jumps, Central limit theorems for coupled particle filters, Equality between Monge and Kantorovich multimarginal problems with Coulomb cost, On the Monge and Kantorovich problems for distributions of diffusion processes, Combinatorial Optimization Over Two Random Point Sets, Convergence of Recursive Stochastic Algorithms Using Wasserstein Divergence, Optimal transportation, topology and uniqueness, Formulation and properties of a divergence used to compare probability measures without absolute continuity, Capital distribution and portfolio performance in the mean-field Atlas model, Optimal transport and integer partitions, Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit, Optimal transport maps on infinite dimensional spaces