8 papers
A note on the adapted weak topology in discrete time
Gudmund Pammer
The adapted weak topology is an extension of the weak topology for stochastic processes designed to adequately capture properties of underlying filtrations. With the recent work of…
Faking Brownian motion with continuous Markov martingales
Mathias Beiglböck, George Lowther, Gudmund Pammer +1
Hamza-Klebaner posed the problem of constructing martingales with Brownian marginals that differ from Brownian motion, so called fake Brownian motions. Besides its theoretical appe…
From Bachelier to Dupire via Optimal Transport
Mathias Beiglböck, Gudmund Pammer, Walter Schachermayer
Famously mathematical finance was started by Bachelier in his 1900 PhD thesis where - among many other achievements - he also provides a formal derivation of the Kolmogorov forward…
Disease Momentum: Estimating the Reproduction Number in the Presence of Superspreading
Kory D. Johnson, Mathias Beiglböck, Manuel Eder +6
A primary quantity of interest in the study of infectious diseases is the average number of new infections that an infected person produces. This so-called reproduction number has…
Applications of weak transport theory
Julio Daniel Backhoff-Veraguas, Gudmund Pammer
Motivated by applications to geometric inequalities, Gozlan, Roberto, Samson, and Tetali introduced a transport problem for `weak' cost functionals. Basic results of optimal transp…
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…