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20162026
most citedRobust risk management via multi-marginal optimal transport

1 citations · 2 across the 12 of their papers we have counts for

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math.OC2026

Semi-discrete convex order and Laguerre tessellation fitting

David P. Bourne, Thomas Gallouët, Quentin Mérigot +1

Laguerre tessellations offer an efficient way to parameterize a large class of convex partitions of Euclidean space using only a set of points and scalar weights. For this reason,…

math.OC2026

Polynomial diagrams for microstructure modelling

David P. Bourne, Maciej Buze, Thomas Gallouët +1

We formulate a framework of polynomial diagrams, which are a generalisation of power diagrams (PDs) and anisotropic power diagrams (APDs) allowing for boundaries between cells to b…

math.OC2026

Particle method for a nonlinear multimarginal optimal transport problem

Adrien Cances, Quentin Mérigot, Luca Nenna

We study a nonlinear multimarginal optimal transport problem arising in risk management, where the objective is to maximize a spectral risk measure of the pushforward of a coupling…

math.OC2024

Quantitative Stability of the Pushforward Operation by an Optimal Transport Map

Guillaume Carlier, Alex Delalande, Quentin Mérigot

We study the quantitative stability of the mapping that to a measure associates its pushforward measure by a fixed (non-smooth) optimal transport map. We exhibit a tight Hölder-beh…

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…