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math.PR2020
Limits of random walks with distributionally robust transition probabilities
Daniel Bartl, Stephan Eckstein, Michael Kupper
We consider a nonlinear random walk which, in each time step, is free to choose its own transition probability within a neighborhood (w.r.t. Wasserstein distance) of the transition…
math.PR2020
Estimating processes in adapted Wasserstein distance
Julio Backhoff, Daniel Bartl, Mathias Beiglböck +1
A number of researchers have independently introduced topologies on the set of laws of stochastic processes that extend the usual weak topology. Depending on the respective scienti…