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20062023
most citedA deconvolution approach to estimation of a common shape in a shifted curves model

36 citations · 163 across the 33 of their papers we have counts for

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math.ST2023

Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements

Bernard Bercu, Jeremie Bigot, Gauthier Thurin

We propose center-outward superquantile and expected shortfall functions, with applications to multivariate risk measurements, extending the standard notion of value at risk and co…

math.PR2023

Stochastic optimal transport in Banach Spaces for regularized estimation of multivariate quantiles

Bernard Bercu, Jérémie Bigot, Gauthier Thurin

We introduce a new stochastic algorithm for solving entropic optimal transport (EOT) between two absolutely continuous probability measures and . Our work is motivated by th…