2 citations · 5 across the 15 of their papers we have counts for
10 papers · 1 filter
Fixed Points for the -Bass Martingale: Existence, Stability, and Convergence
Beatrice Acciaio, Antonio Marini
We establish existence, uniqueness, stability, and convergence results for one-dimensional -Bass martingales, characterized as the martingales with prescribed initial and termin…
Existence of -Bass martingales in the semidiscrete setting
Beatrice Acciaio, Antonio Marini
The class of -Bass martingales provides a natural answer to a central question in martingale optimal transport: how to construct martingales with prescribed initial and terminal…
The geometry of the adapted Bures--Wasserstein space
Beatrice Acciaio, Daniel Bartl, Anne Grass +2
The adapted Bures--Wasserstein space consists of Gaussian processes endowed with the adapted Wasserstein distance. It can be viewed as the analogue of the classical Bures--Wasserst…
Strassen's theorem for biased convex order
Beatrice Acciaio, Mathias Beiglböck, Evgeny Kolosov +1
Strassen's theorem asserts that for given marginal probabilities there exists a martingale starting in and terminating in if and only if are in convex order. Fr…
Absolutely Continuous Curves of Stochastic Processes
Beatrice Acciaio, Daniel Kršek, Gudmund Pammer +1
We study absolutely continuous curves in the adapted Wasserstein space of filtered processes. We provide a probabilistic representation of such curves as flows of adapted processes…
Estimating causal distances with non-causal ones
Beatrice Acciaio, Songyan Hou, Gudmund Pammer
The adapted Wasserstein () distance refines the classical Wasserstein () distance by incorporating the temporal structure of stochastic processes. This makes the -distan…
Multicausal transport: barycenters and dynamic matching
Beatrice Acciaio, Daniel Kršek, Gudmund Pammer
We introduce a multivariate version of causal transport, which we name multicausal transport, involving several filtered processes among which causality constraints are imposed. Su…
Convergence of Adapted Empirical Measures on
Beatrice Acciaio, Songyan Hou
We consider empirical measures of -valued stochastic process in finite discrete-time. We show that the adapted empirical measure introduced in the recent work \cite{backhof…
A short proof of the characterisation of convex order using the 2-Wasserstein distance
Beatrice Acciaio, Gudmund Pammer
We provide a short proof of the intriguing characterisation of the convex order given by Wiesel and Zhang.
Weak Transport for Non-Convex Costs and Model-independence in a Fixed-Income Market
Beatrice Acciaio, Mathias Beiglboeck, Gudmund Pammer
We consider a model-independent pricing problem in a fixed-income market and show that it leads to a weak optimal transport problem as introduced by Gozlan et al. We use this to ch…