Found 28 Documents (Results 1–28)
A corrected inexact proximal augmented Lagrangian method with a relative error criterion for a class of group-quadratic regularized optimal transport problems. (English) Zbl 07845621
Lipschitz continuity of the Wasserstein projections in the convex order on the line. (English) Zbl 1519.49032
MSC:
49Q22
Approximation of martingale couplings on the line in the adapted weak topology. (English) Zbl 1504.60067
Martingale Wasserstein inequality for probability measures in the convex order. (English) Zbl 1510.60017
Reviewer: Pavel Stoynov (Sofia)
Applications of weak transport theory. (English) Zbl 1516.49042
Reviewer: Nicolò De Ponti (Trieste)
Weak transport for non-convex costs and model-independence in a fixed-income market. (English) Zbl 1522.91255
MSC:
91G20
Optimal dual quantizers of \(1 D\log \)-concave distributions: uniqueness and Lloyd like algorithm. (English) Zbl 1478.60052
Reviewer: Halim Zeghdoudi (Annaba)
Robust statistical arbitrage strategies. (English) Zbl 1466.91345
MSC:
91G20
Robust pricing and hedging of options on multiple assets and its numerics. (English) Zbl 1467.91212
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Computation of optimal transport and related hedging problems via penalization and neural networks. (English) Zbl 1462.49073
Reviewer: Nikolay Kyurkchiev (Plovdiv)
Approximation of optimal transport problems with marginal moments constraints. (English) Zbl 1455.49018
Sampling of probability measures in the convex order by Wasserstein projection. (English. French summary) Zbl 1469.60065
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