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math.PR2017★ 12 cited
Extended Laplace Principle for Empirical Measures of a Markov Chain
Stephan Eckstein
We consider discrete time Markov chains with Polish state space. The large deviations principle for empirical measures of a Markov chain can equivalently be stated in Laplace princ…
math.PR2017
Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
Daniel Bartl, Michael Kupper, Thibaut Lux +2
Motivated by applications in model-free finance and quantitative risk management, we consider Fréchet classes of multivariate distribution functions where additional information on…