2 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…
math.OC2025
Convergence Rates of the Regularized Optimal Transport : Disentangling Suboptimality and Entropy
Hugo Malamut, Maxime Sylvestre
We study the convergence of the transport plans towards as well as the cost of the entropy-regularized optimal transport towards as the regula…