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stat.ME2026
Renewable high-dimensional expected shortfall regression
Haochen Rao, Tingzi Weng, Yifan Jiang +1
Expected Shortfall (ES) has become a core coherent risk measure in finance and statistics, and high-dimensional ES regression is crucial for characterizing heterogeneous tail risk…
math.PR2026
Schrödinger bridge with transport relaxation
Yifan Jiang, Renyuan Xu, Luhao Zhang
Motivated by modern machine learning applications where we only have access to empirical measures constructed from finite samples, we relax the marginal constraints of the classica…