231 citations · 874 across the 46 of their papers we have counts for
6 papers · 2 filters
Quantitative Stability of Regularized Optimal Transport and Convergence of Sinkhorn's Algorithm
Stephan Eckstein, Marcel Nutz
We study the stability of entropically regularized optimal transport with respect to the marginals. Lipschitz continuity of the value and Hölder continuity of the optimal coupling…
Stability of Entropic Optimal Transport and Schrödinger Bridges
Promit Ghosal, Marcel Nutz, Espen Bernton
We establish the stability of solutions to the entropically regularized optimal transport problem with respect to the marginals and the cost function. The result is based on the ge…
Mean Field Contest with Singularity
Marcel Nutz, Yuchong Zhang
We formulate a mean field game where each player stops a privately observed Brownian motion with absorption. Players are ranked according to their level of stopping and rewarded as…
Entropic Optimal Transport: Geometry and Large Deviations
Espen Bernton, Promit Ghosal, Marcel Nutz
We study the convergence of entropically regularized optimal transport to optimal transport. The main result is concerned with the convergence of the associated optimizers and take…
Reward Design in Risk-Taking Contests
Marcel Nutz, Yuchong Zhang
Following the risk-taking model of Seel and Strack, players decide when to stop privately observed Brownian motions with drift and absorption at zero. They are then ranked acco…
Climate Change Adaptation under Heterogeneous Beliefs
Marcel Nutz, Florian Stebegg
We study strategic interactions between firms with heterogeneous beliefs about future climate impacts. To that end, we propose a Cournot-type equilibrium model where firms choose m…