1 citations · 3 across the 12 of their papers we have counts for
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Almost stochastic dominance via optimal transport
Alfred Müller, Johannes Wiesel
We study parametric classes of almost stochastic dominance on general Polish spaces as order relations for probability distributions with a parameter . Larger values of…
Adapted Wasserstein Barycenters of Gaussian Processes
Madhu Gunasingam, Francesco Mattesini, Johannes Wiesel +1
We study barycenters of filtered Gaussian processes in adapted Wasserstein space. The adapted Wasserstein distance refines classical optimal transport by requiring transport plans…
Convergence of the adapted empirical measure for mixing observations
Ruslan Mirmominov, Johannes Wiesel
The adapted Wasserstein distance is a modification of the classical Wasserstein metric, that provides robust and dynamically consistent comparisons of laws of stocha…
Dynamic characterization of barycentric optimal transport problems and their martingale relaxation
Ivan Guo, Severin Nilsson, Johannes Wiesel
We extend the Benamou-Brenier formula from classical optimal transport to weak optimal transport and show that the barycentric optimal transport problem studied by Gozlan and Juill…
The fast rate of convergence of the smooth adapted Wasserstein distance
Martin Larsson, Jonghwa Park, Johannes Wiesel
Estimating a -dimensional distribution by the empirical measure of its samples is an important task in probability theory, statistics and machine learning. It is w…
Bounding adapted Wasserstein metrics
Jose Blanchet, Martin Larsson, Jonghwa Park +1
The Wasserstein distance is an important instance of an optimal transport cost. Its numerous mathematical properties as well as applications to various fields such…
Empirical martingale projections via the adapted Wasserstein distance
Jose Blanchet, Johannes Wiesel, Erica Zhang +1
Given a collection of multidimensional pairs , we study the problem of projecting the associated suitably smoothed empirical measure onto the space of…
On the Martingale Schrödinger Bridge between Two Distributions
Marcel Nutz, Johannes Wiesel
We study a martingale Schrödinger bridge problem: given two probability distributions, find their martingale coupling with minimal relative entropy. Our main result provides Schröd…