Zobrazeno 1 - 10
of 24
pro vyhledávání: '"Martin Huesmann"'
Publikováno v:
Stochastic Processes and their Applications. 155:1-26
We establish asymptotic upper and lower bounds for the Wasserstein distance of any order $p\ge 1$ between the empirical measure of a fractional Brownian motion on a flat torus and the uniform Lebesgue measure. Our inequalities reveal an interesting i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::32e53efe65db23ca812828b2c2fbfcf4
https://doi.org/10.1016/j.spa.2022.09.008
https://doi.org/10.1016/j.spa.2022.09.008
Publikováno v:
Communications on Pure and Applied Mathematics. 74:2483-2560
This paper is about quantitative linearization results for the Monge-Ampere equation with rough data. We develop a large-scale regularity theory and prove that if a measure µ is close to the Lebesgue measure in Wasserstein distance at all scales, th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::890437dc10ba12f90322e469dd33f34d
https://doi.org/10.1002/cpa.21994
https://doi.org/10.1002/cpa.21994
Publikováno v:
Communications on Pure and Applied Mathematics. 74:615-675
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ce339f7fac6502eb47cba81e2c01e162
https://doi.org/10.1002/cpa.21977
https://doi.org/10.1002/cpa.21977
Publikováno v:
Annals of probability, 48(5), 2258-2289. Institute of Mathematical Statistics
Ann. Probab. 48, no. 5 (2020), 2258-2289
Ann. Probab. 48, no. 5 (2020), 2258-2289
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. We suggest
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::92c2de902c1b2992eb91bfae1bfbfbd9
https://doi.org/10.1214/20-aop1422
https://doi.org/10.1214/20-aop1422
Publikováno v:
Beiglboeck, M, Cox, A & Huesmann, M 2020, ' The geometry of multi-marginal Skorokhod Embedding ', Probability Theory and Related Fields, vol. 176, no. 3-4, pp. 1045-1096 . https://doi.org/10.1007/s00440-019-00935-z
Probability Theory and Related Fields
Probability Theory and Related Fields
The Skorokhod Embedding Problem is one of the classical problems in the theory of stochastic processes, with applications in many different fields [cf. the surveys (Hobson in: Paris-Princeton lectures on mathematical finance 2010, Volume 2003 of Lect
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::69a8475e78465374382a58307b7d96b1
https://doi.org/10.1007/s00440-019-00935-z
https://doi.org/10.1007/s00440-019-00935-z
Publikováno v:
Communications on Pure and Applied Mathematics
Communications on Pure and Applied Mathematics, Wiley, In press
HAL
Communications on Pure and Applied Mathematics, Wiley, In press
HAL
This paper replaces and supersedes the first (deterministic) part of the preprint 'A large-scale regularity theory for the Monge-Ampère equation with rough data and application to the optimal matching problem' (which will therefore not be submitted)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::8baf5d4de40fa24e325fa18a61862591
http://hdl.handle.net/20.500.12278/35373
http://hdl.handle.net/20.500.12278/35373
Given a family of real probability measures $(\mu_t)_{t\geq 0}$ increasing in convex order (a peacock) we describe a systematic method to create a martingale exactly fitting the marginals at any time. The key object for our approach is the obstructed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7c202d9fa9b381611bc2258bebfe3fc6
Autor:
Martin Huesmann, Dario Trevisan
Publikováno v:
Bernoulli 25, no. 4A (2019), 2729-2757
We introduce a Benamou-Brenier formulation for the continuous-time martingale optimal transport problem as a weak length relaxation of its discrete-time counterpart. By the correspondence between classical martingale problems and Fokker-Planck equati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::80a32272128a5edbbbb41e2b5d156465
https://doi.org/10.3150/18-bej1069
https://doi.org/10.3150/18-bej1069
Publikováno v:
Beiglboeck, M, Cox, A M G & Huesmann, M 2017, ' Optimal transport and Skorokhod embedding ', Inventiones Mathematicae, vol. 208, no. 2, pp. 327-400 . https://doi.org/10.1007/s00222-016-0692-2
The Skorokhod embedding problem is to represent a given probability as the distribution of Brownian motion at a chosen stopping time. Over the last 50 years this has become one of the important classical problems in probability theory and a number of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dbf9fb38a58b0f973e4af95a9b9565c0
https://doi.org/10.1007/s00222-016-0692-2
https://doi.org/10.1007/s00222-016-0692-2
Publikováno v:
Finance and Stochastics, 21 (4)
Since Hobson’s seminal paper (Hobson in Finance Stoch. 2:329–347, 1998), the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing–hedging dua
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d3411031c41017567866b988acf7f129
http://ora.ox.ac.uk/objects/uuid:
http://ora.ox.ac.uk/objects/uuid: