Entropic optimal transport: Convergence of potentials M Nutz, J Wiesel Probability Theory and Related Fields 184 (1), 401-424, 2022 | 69 | 2022 |
Estimating processes in adapted Wasserstein distance J Backhoff, D Bartl, M Beiglböck, J Wiesel The Annals of Applied Probability 32 (1), 529-550, 2022 | 51 | 2022 |
Robust uncertainty sensitivity analysis D Bartl, S Drapeau, J Obloj, J Wiesel arXiv preprint arXiv:2006.12022, 2020 | 41* | 2020 |
Stability of Schrödinger potentials and convergence of Sinkhorn’s algorithm M Nutz, J Wiesel The Annals of Probability 51 (2), 699-722, 2023 | 31 | 2023 |
Continuity of the martingale optimal transport problem on the real line J Wiesel The Annals of Applied Probability 33 (6A), 4645-4692, 2023 | 28* | 2023 |
The robust superreplication problem: a dynamic approach L Carassus, J Obłój, J Wiesel SIAM Journal on Financial Mathematics 10 (4), 907-941, 2019 | 28 | 2019 |
Measuring association with Wasserstein distances JCW Wiesel Bernoulli 28 (4), 2816-2832, 2022 | 27 | 2022 |
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance D Bartl, J Wiesel SIAM Journal on Financial Mathematics 14 (2), 704-720, 2023 | 24* | 2023 |
Robust estimation of superhedging prices J Obłój, J Wiesel The Annals of Statistics 49 (1), 508-530, 2021 | 17* | 2021 |
A unified framework for robust modelling of financial markets in discrete time J Obłój, J Wiesel Finance and Stochastics 25 (3), 427-468, 2021 | 14 | 2021 |
Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets J Obloj, J Wiesel Mathematical Finance, 2021 | 14* | 2021 |
On the generalization error of norm penalty linear regression models JLM Olea, C Rush, A Velez, J Wiesel arXiv preprint arXiv:2211.07608, 2022 | 8* | 2022 |
Limits of semistatic trading strategies M Nutz, J Wiesel, L Zhao Mathematical Finance 33 (1), 185-205, 2023 | 7 | 2023 |
Martingale Schrödinger bridges and optimal semistatic portfolios M Nutz, J Wiesel, L Zhao Finance and Stochastics 27 (1), 233-254, 2023 | 7 | 2023 |
An optimal transport-based characterization of convex order J Wiesel, E Zhang Dependence Modeling 11 (1), 20230102, 2023 | 5* | 2023 |
On the Martingale Schr\" odinger Bridge between Two Distributions M Nutz, J Wiesel arXiv preprint arXiv:2401.05209, 2024 | 2 | 2024 |
On a Lusin theorem for capacities J Wiesel Proceedings of the American Mathematical Society 150 (03), 1351-1360, 2022 | 2 | 2022 |
On concentration of the empirical measure for radial transport costs M Larsson, J Park, J Wiesel Stochastic Processes and their Applications 178, 104466, 2024 | 1 | 2024 |
Empirical martingale projections via the adapted Wasserstein distance J Blanchet, J Wiesel, E Zhang, Z Zhang arXiv preprint arXiv:2401.12197, 2024 | 1 | 2024 |
Bounding adapted Wasserstein metrics J Blanchet, M Larsson, J Park, J Wiesel arXiv preprint arXiv:2407.21492, 2024 | | 2024 |