8 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…
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…
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…
Monotone Curve Estimation via Convex Duality
Tongseok Lim, Kyeongsik Nam, Jinwon Sohn
A principal curve serves as a powerful tool for uncovering underlying structures of data through 1-dimensional smooth and continuous representations. On the basis of optimal transp…
Optimal exercise decision of American options under model uncertainty
Tongseok Lim
Given the marginal distribution information of the underlying asset price at two future times and , we consider the problem of determining a model-free upper bound on th…
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 $…