2 papers
math.PR2025
Convergence of the adapted empirical measure for mixing observations
Ruslan Mirmominov, Johannes Wiesel
The adapted Wasserstein distance is a modification of the classical Wasserstein metric, that provides robust and dynamically consistent comparisons of laws of stocha…
math.OC2024
A dynamic programming principle for multiperiod control problems with bicausal constraints
Ruslan Mirmominov, Johannes Wiesel
We consider multiperiod stochastic control problems with non-parametric uncertainty on the underlying probabilistic model. We derive a new metric on the space of probability measur…