7 papers
Statistical Matching via Schrödinger Bridge beyond Conditional Independence
Eunho Koo, Tongseok Lim, Jinwon Sohn
Statistical matching combines partially overlapping datasets that share covariates but observe the target and auxiliary variables separately. Classical approaches typic…
Dual Attainment in Multi-Period Multi-Asset Martingale Optimal Transport and Its Computation
Charlie Che, Tongseok Lim, Yue Sun
We establish dual attainment for the multimarginal, multi-asset martingale optimal transport (MOT) problem, a fundamental question in the mathematical theory of model-independent p…
Data denoising with self consistency, variance maximization, and the Kantorovich dominance
Joshua Zoen-Git Hiew, Tongseok Lim, Brendan Pass +1
We introduce a new framework for data denoising, partially inspired by martingale optimal transport. For a given noisy distribution (the data), our approach involves finding the cl…
Dimension Reduction in Martingale Optimal Transport: Geometry and Robust Option Pricing
Joshua Zoen-Git Hiew, Tongseok Lim, Brendan Pass +1
This paper addresses the problem of robust option pricing within the framework of Vectorial Martingale Optimal Transport (VMOT). We investigate the geometry of VMOT solutions for $…
Node Classification via Simplicial Interaction with Augmented Maximal Clique Selection
Eunho Koo, Tongseok Lim
Considering higher-order interactions allows for a more comprehensive understanding of network structures beyond simple pairwise connections. While leveraging all cliques in a netw…
Robust Intervention in Networks
Daeyoung Jeong, Tongseok Lim, Euncheol Shin
In economic settings such as learning, social behavior, and financial contagion, agents interact through interdependent networks. This paper examines how a decision maker (DM) can…