55 citations · 71 across the 16 of their papers we have counts for
5 papers · 1 filter
Robust Contracting in General Contract Spaces
Julio Backhoff-Veraguas, Patrick Beissner, Ulrich Horst
We consider a general framework of optimal mechanism design under adverse selection and ambiguity about the type distribution of agents. We prove the existence of optimal mechanism…
All Adapted Topologies are Equal
Julio Backhoff-Veraguas, Daniel Bartl, Mathias Beiglböck +1
A number of researchers have introduced topological structures on the set of laws of stochastic processes. A unifying goal of these authors is to strengthen the usual weak topology…
Stability of martingale optimal transport and weak optimal transport
Julio Backhoff-Veraguas, Gudmund Pammer
Under mild regularity assumptions, the transport problem is stable in the following sense: if a sequence of optimal transport plans converges weakly to a transpo…
Weak monotone rearrangement on the line
Julio Backhoff-Veraguas, Mathias Beiglböck, Gudmund Pammer
Weak optimal transport has been recently introduced by Gozlan et al. The original motivation stems from the theory of geometric inequalities; further applications concern numerics…
Adapted Wasserstein Distances and Stability in Mathematical Finance
Julio Backhoff-Veraguas, Daniel Bartl, Mathias Beiglböck +1
Assume that an agent models a financial asset through a measure Q with the goal to price / hedge some derivative or optimize some expected utility. Even if the model Q is chosen in…