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math.PR2023★ 1 cited
The Knothe-Rosenblatt distance and its induced topology
Mathias Beiglböck, Gudmund Pammer, Alexander Posch
A basic and natural coupling between two probabilities on is given by the Knothe-Rosenblatt coupling. It represents a multiperiod extension of the quantile coupling a…
math.PR2023
Representing General Stochastic Processes as Martingale Laws
Mathias Beiglböck, Gudmund Pammer, Stefan Schrott +1
Random variables , are 'probabilistically equivalent' if they have the same law. Moreover, in any class of equivalent random variables it is easy to select canonical r…
math.PR2023
An extension of martingale transport and stability in robust finance
Benjamin Jourdain, Gudmund Pammer
While many questions in robust finance can be posed in the martingale optimal transport framework or its weak extension, others like the subreplication price of VIX futures, the ro…