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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…