Sampling of probability measures in the convex order by Wasserstein projection
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DOI: 10.1214/19-AIHP1014
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Cited by:
- Beatrice Acciaio & Mathias Beiglboeck & Gudmund Pammer, 2020. "Weak Transport for Non-Convex Costs and Model-independence in a Fixed-Income Market," Papers 2011.04274, arXiv.org, revised Aug 2023.
- Benjamin Jourdain & Gudmund Pammer, 2023. "An extension of martingale transport and stability in robust finance," Papers 2304.09551, arXiv.org.
- Johannes Wiesel & Erica Zhang, 2022. "An optimal transport based characterization of convex order," Papers 2207.01235, arXiv.org, revised Mar 2023.
- Beatrice Acciaio & Mathias Beiglböck & Gudmund Pammer, 2021. "Weak transport for non‐convex costs and model‐independence in a fixed‐income market," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1423-1453, October.
- Wiesel Johannes & Zhang Erica, 2023. "An optimal transport-based characterization of convex order," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-15, January.
- Liu, Yating & Pagès, Gilles, 2022. "Monotone convex order for the McKean–Vlasov processes," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 312-338.
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Keywords
Sampling techniques; Linear Programming; Convex order; Martingale Optimal Transport; Wasserstein distance;All these keywords.
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