158 citations · 363 across the 23 of their papers we have counts for
Showing 2024Show all
2 papers · 1 filter
math.PR2024
A Probabilistic View on the Adapted Wasserstein Distance
Mathias Beiglböck, Susanne Pflügl, Stefan Schrott
Causal optimal transport and adapted Wasserstein distance have applications in different fields from optimization to mathematical finance and machine learning. The goal of this art…
math.PR2024
Change of numeraire for weak martingale transport
Mathias Beiglböck, Gudmund Pammer, Lorenz Riess
Change of numeraire is a classical tool in mathematical finance. Campi-Laachir-Martini established its applicability to martingale optimal transport. We note that the results of Ca…