Search Results for author:
Found 2 papers, 0 papers with code
Stability of martingale optimal transport and weak optimal transport
Under mild regularity assumptions, the transport problem is stable in the following sense: if a sequence of optimal transport plans $\pi_1, \pi_2, \ldots$ converges weakly to a transport plan $\pi$, then $\pi$ is also optimal (between its marginals).
Probability Mathematical Finance
Bayesian Learning with Wasserstein Barycenters
We introduce and study a novel model-selection strategy for Bayesian learning, based on optimal transport, along with its associated predictive posterior law: the Wasserstein population barycenter of the posterior law over models.
Cannot find the paper you are looking for? You can
Submit a new open access paper.
