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Wasserstein distance induces a natural Riemannian structure for the probabilities on the Euclidean space.
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Theory of decreasing sequences of measurable partitions
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On Vershik’s standardness criterion and Tsirelson’s notion of cosiness
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Discrete–time approximations of the holmström–milgrom brownian–motion model of intertemporal incentive provision
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On the geometry of the space of probability measures in ℝ n \mathbb{R}^{n} endowed with the quadratic optimal transport distance
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G. C. Pflug · 2009
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Optimal Transport. Old and New
C. Villani · 2009
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Barycenters in the Wasserstein space
M. Agueh and G. Carlier · 2011
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G. C. Pflug and A. Pichler · 2012
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Wasserstein barycenter and its application to texture mixing
J. Rabin, G. Peyré, J. Delon, and M. Bernot · 2012
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Model-independent bounds for option prices: A mass transport approach
M. Beiglböck, P. Henry-Labordère, and F. Penkner · 2013
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Fast computation of wasserstein barycenters
M. Cuturi and A. Doucet · 2014
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Hedging of game options under model uncertainty in discrete time
Y. Dolinsky · 2014
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Multistage stochastic optimization
G. C. Pflug and A. Pichler · 2014
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Multi-marginal Root solution of the Skorohod embedding problem
A. M. Cox, J. Obłój, and N. Touzi · 2015
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Dynamic generation of scenario trees
G. C. Pflug and A. Pichler · 2015
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From empirical observations to tree models for stochastic optimization: convergence properties
G. C. Pflug and A. Pichler · 2016
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Discrete time mckean–vlasov control problem: a dynamic programming approach
H. Pham and X. Wei · 2016
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Causal transport in discrete time and applications
J. Backhoff-Veraguas, M. Beiglböck, Y. Lin, and A. Zalashko · 2017
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Optimal transport and Skorokhod embedding
M. Beiglböck, A. Cox, and M. Huesmann · 2017
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Complete duality for martingale optimal transport on the line
M. Beiglböck, M. Nutz, and N. Touzi · 2017
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Kantorovich duality for general transport costs and applications
N. Gozlan, C. Roberto, P.-M. Samson, and P. Tetali · 2017
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Bounds for VIX futures given S&P 500 smiles
J. Guyon, R. Menegaux, and M. Nutz · 2017
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Model uncertainty and the pricing of American options
D. Hobson and A. Neuberger · 2017
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Weak transport for non-convex costs and model-independence in a fixed-income market
B. Acciaio, M. Beiglböck, and G. Pammer · 2021
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Martingale optimal transport duality
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Chain Rule Optimal Transport
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Mathematical foundations of distributionally robust multistage optimization
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The nested Sinkhorn divergence to learn the nested distance
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Filtration theory for subalgebras, standardness and independence
A. M. Vershik · 2017
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Bayesian learning with wasserstein barycenters
J. Backhoff-Veraguas, J. Fontbona, G. Rios, and F. Tobar · 2018
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Causal transference plans and their Monge-Kantorovich problems
R. Lassalle · 2018
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The robust pricing-hedging duality for American options in discrete time financial markets
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Adapted Wasserstein distance between the laws of SDEs
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Applications of weak transport theory
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Approximation of martingale couplings on the line in the adapted weak topology
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Learning causal graphs via monotone triangular transport maps
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Sensitivity of multiperiod optimization problems with respect to the adapted wasserstein distance
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Fitted value iteration methods for bicausal optimal transport
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Monotonicity and stability of the weak martingale optimal transport problem
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Adapted topologies and higher rank signatures
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The weisfeiler-lehman distance: Reinterpretation and connection with gnns
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Optimal transport and Wasserstein distances for causal models, Mar. 2023
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Computational methods for adapted optimal transport
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Distributionally robust risk evaluation with causality constraint and structural information
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Optimal stopping via distribution regression: a higher rank signature approach
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Learning multi-scale local conditional probability models of images
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Continuity of the martingale optimal transport problem on the real line
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