55 citations · 199 across the 14 of their papers we have counts for
5 papers · 1 filter
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…
Duality Theory for Robust Utility Maximisation
Daniel Bartl, Michael Kupper, Ariel Neufeld
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are in…
Sensitivity analysis of Wasserstein distributionally robust optimization problems
Daniel Bartl, Samuel Drapeau, Jan Obloj +1
We consider sensitivity of a generic stochastic optimization problem to model uncertainty. We take a non-parametric approach and capture model uncertainty using Wasserstein balls a…
Non-asymptotic convergence rates for the plug-in estimation of risk measures
Daniel Bartl, Ludovic Tangpi
Let be a general law--invariant convex risk measure, for instance the average value at risk, and let be a financial loss, that is, a real random variable. In practice, eith…
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…