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math.ST2024
Asymptotic distribution and convergence rates of stochastic algorithms for entropic optimal transportation between probability measures
Bernard Bercu, Jérémie Bigot
This paper is devoted to the stochastic approximation of entropically regularized Wasserstein distances between two probability measures, also known as Sinkhorn divergences. The se…
math.ST2024
Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements
Bernard Bercu, Jeremie Bigot, Gauthier Thurin
We propose center-outward superquantile and expected shortfall functions, with applications to multivariate risk measurements, extending the standard notion of value at risk and co…