most citedRobust risk management via multi-marginal optimal transport

1 citations · 1 across the 2 of their papers we have counts for

collaborators

2 papers

math.OC2022★ 1 cited

Robust risk management via multi-marginal optimal transport

Hamza Ennaji, Quentin Mérigot, Luca Nenna +1

We study the problem of maximizing a spectral risk measure of a given output function which depends on several underlying variables, whose individual distributions are known but wh…

math.AP2021

Quasi-convex Hamilton--Jacobi equations via limits of Finsler -Laplace problems as

Hamza Ennaji, Noureddine Igbida, Van Thanh Nguyen

In this paper we show that the maximal viscosity solution of a class of quasi-convex Hamilton--Jacobi equations, coupled with inequality constraints on the boundary, can be recover…