3 citations · 15 across the 36 of their papers we have counts for
5 papers · 1 filter
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…
Stability of the Weak Martingale Optimal Transport Problem
Mathias Beiglböck, Benjamin Jourdain, William Margheriti +1
While many questions in (robust) finance can be posed in the martingale optimal transport (MOT) framework, others require to consider also non-linear cost functionals. Following th…
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…
The Wasserstein space of stochastic processes
Daniel Bartl, Mathias Beiglböck, Gudmund Pammer
Wasserstein distance induces a natural Riemannian structure for the probabilities on the Euclidean space. This insight of classical transport theory is fundamental for tremendous a…
Approximation of martingale couplings on the line in the weak adapted topology
Mathias Beiglböck, Benjamin Jourdain, William Margheriti +1
Our main result is to establish stability of martingale couplings: suppose that is a martingale coupling with marginals . Then, given approximating marginal measures $\ti…