Erica Zhang

most citedEmpirical martingale projections via the adapted Wasserstein distance

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math.PR2024★ 1 cited

Empirical martingale projections via the adapted Wasserstein distance

Jose Blanchet, Johannes Wiesel, Erica Zhang +1

Given a collection of multidimensional pairs ${(X_{i}, Y_{i}) : 1 \leq i \leq n}$ , we study the problem of projecting the associated suitably smoothed empirical measure onto the space of…

math.PR2022

An optimal transport based characterization of convex order

Johannes Wiesel, Erica Zhang

For probability measures $μ, ν$ and $ρ$ define the cost functionals \begin{align*} C(μ,ρ):=\sup_{π\in Π(μ,ρ)} \int \langle x,y\rangle\, π(dx,dy),\quad C(ν,ρ):=\sup_{π\in Π(ν,ρ)} \in…