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math.ST2022★ 1 cited
Structure preservation via the Wasserstein distance
Daniel Bartl, Shahar Mendelson
We show that under minimal assumptions on a random vector and with high probability, given independent copies of , the coordinate distribution of each vec…
math.OC2022★ 1 cited
Sensitivity of multiperiod optimization problems in adapted Wasserstein distance
Daniel Bartl, Johannes Wiesel
We analyze the effect of small changes in the underlying probabilistic model on the value of multi-period stochastic optimization problems and optimal stopping problems. We work in…