Estimating processes in adapted Wasserstein distance-Reference-Cited by-同舟云学术

Estimating processes in adapted Wasserstein distance

Published:2022-02-01 Issue:1 Volume:32 Page:
ISSN:1050-5164
Container-title:The Annals of Applied Probability
language:
Short-container-title:Ann. Appl. Probab.

Author:

Backhoff Julio¹,Bartl Daniel²,Beiglböck Mathias²,Wiesel Johannes³

Affiliation:

1. Department of Applied Mathematics, University of Twente

2. Department of Mathematics, University of Vienna

3. Department of Statistics, Columbia University

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference37 articles.

1. ACCIAIO, B., BACKHOFF-VERAGUAS, J. and CARMONA, R. (2019). Extended mean field control problems: Stochastic maximum principle and transport perspective. SIAM J. Control Optim. 57 3666–3693.

2. ALDOUS, D. J. Weak convergence and general theory of processes. Unpublished monograph; Department of Statistics, University of California, Berkeley, CA 94720, July 1981.

3. BACKHOFF, J., BEIGLBÖCK, M., LIN, Y. and ZALASHKO, A. (2017). Causal transport in discrete time and applications. SIAM J. Optim. 27 2528–2562.

4. BACKHOFF-VERAGUAS, J., BARTL, D., BEIGLBÖCK, M. and EDER, M. (2020). All adapted topologies are equal. Probab. Theory Related Fields 178 1125–1172.

5. BACKHOFF-VERAGUAS, J., BARTL, D., BEIGLBÖCK, M. and EDER, M. (2020). Adapted Wasserstein distances and stability in mathematical finance. Finance Stoch. 24 601–632.

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