231 citations · 874 across the 46 of their papers we have counts for
6 papers · 1 filter
On the Convergence Rate of Sinkhorn's Algorithm
Promit Ghosal, Marcel Nutz
We study Sinkhorn's algorithm for solving the entropically regularized optimal transport problem. Its iterate is shown to satisfy …
Martingale Transports and Monge Maps
Marcel Nutz, Ruodu Wang, Zhenyuan Zhang
It is well known that martingale transport plans between marginals are never given by Monge maps -- with the understanding that the map is over the first marginal , or…
Convergence Rates for Regularized Optimal Transport via Quantization
Stephan Eckstein, Marcel Nutz
We study the convergence of divergence-regularized optimal transport as the regularization parameter vanishes. Sharp rates for general divergences including relative entropy or $L^…
Limits of Semistatic Trading Strategies
Marcel Nutz, Johannes Wiesel, Long Zhao
We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies. The analysis is carried out in full generality for a two-period mod…
Martingale Schrödinger Bridges and Optimal Semistatic Portfolios
Marcel Nutz, Johannes Wiesel, Long Zhao
In a two-period financial market where a stock is traded dynamically and European options at maturity are traded statically, we study the so-called martingale Schrödinger bridge Q*…
Stability of Schrödinger Potentials and Convergence of Sinkhorn's Algorithm
Marcel Nutz, Johannes Wiesel
We study the stability of entropically regularized optimal transport with respect to the marginals. Given marginals converging weakly, we establish a strong convergence for the Sch…