3 citations · 3 across the 9 of their papers we have counts for
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Couplings Farthest from the Independent Gaussian
Stefan Schrott
Motivated by Wasserstein measures of dependence, we study the largest possible 2-Wasserstein distance between a joint distribution and the product of its prescribed marginals. For…
A Brenier Theorem on and Applications to Adapted Transport
Mathias Beiglböck, Gudmund Pammer, Stefan Schrott
We develop Brenier theorems on iterated Wasserstein spaces. For a separable Hilbert space and , we construct a full-support probability on $P_2^{N}(H)= P_2(... P_2…
The Fundamental Theorem of Weak Optimal Transport
Mathias Beiglböck, Gudmund Pammer, Lorenz Riess +1
The fundamental theorem of classical optimal transport establishes strong duality and characterizes optimizers through a complementary slackness condition. Milestones such as Breni…
The Wasserstein Space of Stochastic Processes in Continuous Time
Daniel Bartl, Mathias Beiglböck, Gudmund Pammer +2
Researchers from different areas have independently defined extensions of the usual weak convergence of laws of stochastic processes with the goal of adequately accounting for the…
A Probabilistic View on the Adapted Wasserstein Distance
Mathias Beiglböck, Susanne Pflügl, Stefan Schrott
Causal optimal transport and adapted Wasserstein distance have applications in different fields from optimization to mathematical finance and machine learning. The goal of this art…
Representing General Stochastic Processes as Martingale Laws
Mathias Beiglböck, Gudmund Pammer, Stefan Schrott +1
Random variables , are 'probabilistically equivalent' if they have the same law. Moreover, in any class of equivalent random variables it is easy to select canonical r…
On Strassen's Theorem for support functions
Stefan Schrott, Daniel Toneian
Strassen established that there exists a two step martingale with marginal distributions , if and only if , are in convex order. Recently Choné-Gozlan-Kramarz obtaine…
Denseness of biadapted Monge mappings
Mathias Beiglböck, Gudmund Pammer, Stefan Schrott
Adapted or causal transport theory aims to extend classical optimal transport from probability measures to stochastic processes. On a technical level, the novelty is to restrict to…