69 citations · 293 across the 53 of their papers we have counts for
56 papers · 1 filter
Convergence to the uniform distribution of vectors of partial sums modulo one with a common factor
Roberta Flenghi, Benjamin Jourdain
In this work, we prove the joint convergence in distribution of variables modulo one obtained as partial sums of a sequence of i.i.d. square integrable random variables multipl…
Central limit theorem for the stratified resampling mechanism
Roberta Flenghi, Benjamin Jourdain
The stratified resampling mechanism is one of the resampling schemes commonly used in the resampling steps of particle filters. In the present paper, we prove a central limit theor…
Non-decreasing martingale couplings
Benjamin Jourdain, Kexin Shao
For many examples of couples of probability measures on the real line in the convex order, we observe numerically that the Hobson and Neuberger martingale coupling, which m…
An extension of martingale transport and stability in robust finance
Benjamin Jourdain, Gudmund Pammer
While many questions in robust finance can be posed in the martingale optimal transport framework or its weak extension, others like the subreplication price of VIX futures, the ro…
Convex ordering for stochastic Volterra equations and their Euler schemes
Benjamin Jourdain, Gilles Pagès
In this paper, we are interested in comparing solutions to stochastic Volterra equations for the convex order on the space of continuous -valued paths and for the monotonic c…
Lipschitz continuity of the Wasserstein projections in the convex order on the line
Benjamin Jourdain, William Margheriti, Gudmund Pammer
Wasserstein projections in the convex order were first considered in the framework of weak optimal transport, and found application in various problems such as concentration inequa…