The Wasserstein space of stochastic processes
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Cites work
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- A distance for multistage stochastic optimization models
- A predictive view of continuous time processes
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- Adapted topologies and higher rank signatures
- Adapted Wasserstein distances and stability in mathematical finance
- All adapted topologies are equal
- Applications of weak transport theory
- Approximation of martingale couplings on the line in the adapted weak topology
- Barycenters in the Wasserstein space
- Bayesian learning with Wasserstein barycenters
- Bounds for VIX futures given S{\&}P 500 smiles
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- Characterization of absolutely continuous curves in Wasserstein spaces
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- Computational methods for adapted optimal transport
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- Continuity of the martingale optimal transport problem on the real line
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- Doob decomposition, Dirichlet processes, and entropies on Wiener space
- Dynamic generation of scenario trees
- Estimating processes in adapted Wasserstein distance
- Existence and consistency of Wasserstein barycenters
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- Incorporating statistical model error into the calculation of acceptability prices of contingent claims
- Kantorovich duality for general transport costs and applications
- Martingale Benamou-Brenier: a probabilistic perspective
- Martingale characterizations of risk-averse stochastic optimization problems
- Martingale optimal transport duality
- Mathematical foundations of distributionally robust multistage optimization
- Measuring association with Wasserstein distances
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- Model-independent bounds for option prices -- a mass transport approach
- Multistage stochastic optimization
- No-arbitrage and hedging with liquid American options
- On a Wasserstein-type distance between solutions to stochastic differential equations
- On the uniqueness of solutions of stochastic differential equations
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- Optimal couplings on Wiener space and an extension of Talagrand's transport inequality
- Optimal Transport
- Optimal transport and Skorokhod embedding
- Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
- Sequential decisions under uncertainty and the maximum theorem
- Stability of the weak martingale optimal transport problem
- The geometry of multi-marginal Skorokhod embedding
- The nested Sinkhorn divergence to learn the nested distance
- The robust pricing–hedging duality for American options in discrete time financial markets
- The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
- The theory of filtrations of subalgebras, standardness, and independence
- The Wasserstein distance and approximation theorems
- The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
- Version-independence and nested distributions in multistage stochastic optimization
- Wasserstein barycenters over Riemannian manifolds
- Weak monotone rearrangement on the line
- Weak transport for non‐convex costs and model‐independence in a fixed‐income market
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