55 citations · 79 across the 14 of their papers we have counts for
21 papers
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 entropy (…
Existence of Bass martingales and the martingale BenamouBrenier problem in
Julio Backhoff-Veraguas, Mathias Beiglböck, Walter Schachermayer +1
In classical optimal transport, the contributions of BenamouBrenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the bas…
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…
Stability of the Weak Martingale Optimal Transport Problem
Mathias Beiglböck, Benjamin Jourdain, William Margheriti +1
While many questions in (robust) finance can be posed in the martingale optimal transport (MOT) framework, others require to consider also non-linear cost functionals. Following th…
From Bachelier to Dupire via Optimal Transport
Mathias Beiglböck, Gudmund Pammer, Walter Schachermayer
Famously mathematical finance was started by Bachelier in his 1900 PhD thesis where - among many other achievements - he also provides a formal derivation of the Kolmogorov forward…
Disease Momentum: Estimating the Reproduction Number in the Presence of Superspreading
Kory D. Johnson, Mathias Beiglböck, Manuel Eder +6
A primary quantity of interest in the study of infectious diseases is the average number of new infections that an infected person produces. This so-called reproduction number has…