Zobrazeno 1 - 10
of 136
pro vyhledávání: '"Beiglboeck, Mathias"'
Causal optimal transport and adapted Wasserstein distance have applications in different fields from optimization to mathematical finance and machine learning. The goal of this article is to provide equivalent formulations of these concepts in classi
Externí odkaz:
http://arxiv.org/abs/2406.19810
Change of numeraire is a classical tool in mathematical finance. Campi-Laachir-Martini established its applicability to martingale optimal transport. We note that the results of Campi-Laachir-Martini extend to the case of weak martingale transport. W
Externí odkaz:
http://arxiv.org/abs/2406.07523
A basic and natural coupling between two probabilities on $\mathbb R^N$ is given by the Knothe-Rosenblatt coupling. It represents a multiperiod extension of the quantile coupling and is simple to calculate numerically. We consider the distance on $\m
Externí odkaz:
http://arxiv.org/abs/2312.16515
Random variables $X^i$, $i=1,2$ are 'probabilistically equivalent' if they have the same law. Moreover, in any class of equivalent random variables it is easy to select canonical representatives. The corresponding questions are more involved for proc
Externí odkaz:
http://arxiv.org/abs/2312.16725
In classical optimal transport, the contributions of Benamou$-$Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas. Stretche
Externí odkaz:
http://arxiv.org/abs/2306.11019
Motivated by a problem posed by Aldous, our goal is to find the maximal-entropy win-martingale: In a sports game between two teams, the chance the home team wins is initially $x_0 \in (0,1)$ and finally 0 or 1. As an idealization we take a continuous
Externí odkaz:
http://arxiv.org/abs/2305.14037
The increasing availability of granular and big data on various objects of interest has made it necessary to develop methods for condensing this information into a representative and intelligible map. Financial regulation is a field that exemplifies
Externí odkaz:
http://arxiv.org/abs/2305.03565
Adapted or causal transport theory aims to extend classical optimal transport from probability measures to stochastic processes. On a technical level, the novelty is to restrict to couplings which are bicausal, i.e. satisfy a property which reflects
Externí odkaz:
http://arxiv.org/abs/2210.15554
Hamza-Klebaner posed the problem of constructing martingales with Brownian marginals that differ from Brownian motion, so called fake Brownian motions. Besides its theoretical appeal, the problem represents the quintessential version of the ubiquitou
Externí odkaz:
http://arxiv.org/abs/2109.12927
In light of the continuing emergence of new SARS-CoV-2 variants and vaccines, we create a simulation framework for exploring possible infection trajectories under various scenarios. The situations of primary interest involve the interaction between t
Externí odkaz:
http://arxiv.org/abs/2109.11156