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math.OC2026
Higher-Order Sensitivity Analysis of Wasserstein and Adapted Wasserstein Distributionally Robust Optimization Problems
Nathan Sauldubois
We investigate the higher-order expansions of the sensitivities of functionals of probability measures. Building on the work of \citeauthor{bartl2021sensitivity} \cite{bartl2021sen…
math.OC2025
Sensitivity Analysis of Distributionally Robust BSDEs and RBSDEs
Arthur Compoint, Nathan Sauldubois, Nizar Touzi
We examine the sensitivity properties of backward stochastic differential equations and reflected backward stochastic differential equations, which naturally arise in the context o…