Search Results for author:
Found 9 papers, 2 papers with code
Optimal nonparametric estimation of the expected shortfall risk
We address the problem of estimating the expected shortfall risk of a financial loss using a finite number of i. i. d.
Hilbert's projective metric for functions of bounded growth and exponential convergence of Sinkhorn's algorithm
Motivated by the entropic optimal transport problem in unbounded settings, we study versions of Hilbert's projective metric for spaces of integrable functions of bounded growth.
Convergence Rates for Regularized Optimal Transport via Quantization
We study the convergence of divergence-regularized optimal transport as the regularization parameter vanishes.
Dimensionality Reduction and Wasserstein Stability for Kernel Regression
We apply the general stability result to principal component analysis (PCA).
MinMax Methods for Optimal Transport and Beyond: Regularization, Approximation and Numerics
We study MinMax solution methods for a general class of optimization problems related to (and including) optimal transport.
Lipschitz neural networks are dense in the set of all Lipschitz functions
This note shows that, for a fixed Lipschitz constant $L > 0$, one layer neural networks that are $L$-Lipschitz are dense in the set of all $L$-Lipschitz functions with respect to the uniform norm on bounded sets.
Martingale transport with homogeneous stock movements
We study a variant of the martingale optimal transport problem in a multi-period setting to derive robust price bounds of a financial derivative.
Robust risk aggregation with neural networks
We work with the set of distributions that are both close to the given reference measure in a transportation distance (e. g. the Wasserstein distance), and additionally have the correct marginal structure.
Computation of optimal transport and related hedging problems via penalization and neural networks
This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks.
