3 citations · 15 across the 36 of their papers we have counts for
7 papers · 1 filter
Entropic adapted Wasserstein distance on Gaussians
Beatrice Acciaio, Songyan Hou, Gudmund Pammer
The adapted Wasserstein distance is a metric for quantifying distributional uncertainty and assessing the sensitivity of stochastic optimization problems on time series data. A com…
The Gradient Flow of the Bass Functional in Martingale Optimal Transport
Julio Backhoff-Veraguas, Gudmund Pammer, Walter Schachermayer
Given and , probability measures on in convex order, a Bass martingale is arguably the most natural martingale starting with law and finishing with law …
Change of numeraire for weak martingale transport
Mathias Beiglböck, Gudmund Pammer, Lorenz Riess
Change of numeraire is a classical tool in mathematical finance. Campi-Laachir-Martini established its applicability to martingale optimal transport. We note that the results of Ca…
Tighter Learning Guarantees on Digital Computers via Concentration of Measure on Finite Spaces
Anastasis Kratsios, A. Martina Neuman, Gudmund Pammer
Machine learning models with inputs in a Euclidean space , when implemented on digital computers, generalize, and their generalization gap converges to at a rate…
Estimating Barycenters of Distributions with Neural Optimal Transport
Alexander Kolesov, Petr Mokrov, Igor Udovichenko +4
Given a collection of probability measures, a practitioner sometimes needs to find an "average" distribution which adequately aggregates reference distributions. A theoretically ap…
Multicausal transport: barycenters and dynamic matching
Beatrice Acciaio, Daniel Kršek, Gudmund Pammer
We introduce a multivariate version of causal transport, which we name multicausal transport, involving several filtered processes among which causality constraints are imposed. Su…
General duality and dual attainment for adapted transport
Daniel Kršek, Gudmund Pammer
We investigate duality and existence of dual optimizers for several adapted optimal transport problems under minimal assumptions. This includes the causal and bicausal transport, t…