3 papers
q-fin.RM2026
Adapted Law Invariance and Time-Consistent Dynamic Risk Measures
Mathias Beiglböck, Mathias Beiglböck, Silvana M. Pesenti +1
In static risk measurement, law invariance expresses the principle that the risk of a position should depend only on its distribution, and not on the particular probability space o…
stat.ML2025
The geometry of financial institutions -- Wasserstein clustering of financial data
Lorenz Riess, Mathias Beiglböck, Johannes Temme +2
The increasing availability of granular and big data on various objects of interest has made it necessary to develop methods for condensing this information into a representative a…
math.PR2025
Pinsker's inequality for adapted total variation
Mathias Beiglböck, Markus Zona
Pinsker's classical inequality asserts that the total variation between two probability measures is bounded by where denotes the relative entro…