From the 2 of 12 linked papers with an AI index.
8 papers · 1 filter
Almost stochastic dominance via optimal transport
Alfred Müller, Johannes Wiesel
The paper introduces a parametric family of almost stochastic dominance relations for probability distributions, characterizing the optimal γ parameter through an optimal transport…
Adapted Wasserstein Barycenters of Gaussian Processes
Madhu Gunasingam, Francesco Mattesini, Johannes Wiesel +1
The paper investigates how to compute barycenters of filtered Gaussian processes using the adapted Wasserstein distance, providing existence results, decomposition into classical B…
The fast rate of convergence of the smooth adapted Wasserstein distance
Martin Larsson, Jonghwa Park, Johannes Wiesel
Estimating a -dimensional distribution by the empirical measure of its samples is an important task in probability theory, statistics and machine learning. It is…
Convergence of the adapted empirical measure for mixing observations
Ruslan Mirmominov, Johannes Wiesel
The adapted Wasserstein distance is a modification of the classical Wasserstein metric, that provides robust and dynamically consistent comparisons of laws of stocha…
Dynamic characterization of barycentric optimal transport problems and their martingale relaxation
Ivan Guo, Severin Nilsson, Johannes Wiesel
We extend the Benamou-Brenier formula from classical optimal transport to weak optimal transport and show that the barycentric optimal transport problem studied by Gozlan and Juill…
Empirical martingale projections via the adapted Wasserstein distance
Jose Blanchet, Johannes Wiesel, Erica Zhang +1
Given a collection of multidimensional pairs , we study the problem of projecting the associated suitably smoothed empirical measure onto the space of…