10 papers
Existence of -Bass martingales in the semidiscrete setting
Beatrice Acciaio, Antonio Marini
The class of -Bass martingales provides a natural answer to a central question in martingale optimal transport: how to construct martingales with prescribed initial and terminal…
The geometry of the adapted Bures--Wasserstein space
Beatrice Acciaio, Daniel Bartl, Anne Grass +2
The adapted Bures--Wasserstein space consists of Gaussian processes endowed with the adapted Wasserstein distance. It can be viewed as the analogue of the classical Bures--Wasserst…
Dynamic reinsurance via martingale transport
Beatrice Acciaio, Brandon Garcia Flores, Antonio Marini +1
We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using tech…
Estimating causal distances with non-causal ones
Beatrice Acciaio, Songyan Hou, Gudmund Pammer
The adapted Wasserstein () distance refines the classical Wasserstein () distance by incorporating the temporal structure of stochastic processes. This makes the -distan…
Entropic adapted Wasserstein distance on Gaussians
Beatrice Acciaio, Songyan Hou, Gudmund Pammer
The adapted Wasserstein distance is a metric for quantifying distributional uncertainty and assessing the sensitivity of stochastic optimization problems on time series data. A com…
Strassen's theorem for biased convex order
Beatrice Acciaio, Mathias Beiglböck, Evgeny Kolosov +1
Strassen's theorem asserts that for given marginal probabilities there exists a martingale starting in and terminating in if and only if are in convex ord…