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math.PR2026
Projected McKean--Vlasov Dynamics for Entropic Weak Optimal Transport
Nathan Sauldubois, Xin Zhang
Unlike classical optimal transport, weak transport costs depend nonlinearly on the conditional law of couplings. This feature is essential in problems involving barycenter, conditi…
math.PR2026
Model Risk Static-Hedging a Constrained Distributionally Robust Optimization approach
Nathan Sauldubois
We investigate model risk and distributionally robust optimization (DRO) under marginal and martingale constraints. Building on our previous work, we address the previously open ca…