Publications and Preprints

PUBLICATIONS:

• "Stochastic Gradient Descent in Wasserstein Space" (with Joaquin Fontbona, Gonzalo Ríos and Felipe Tobar, to appear in Applied Probability Journal, preprint)

• "The most exciting game" (with Mathias Beiglboeck, Electronic Communications in Probability, 29: 1-12 (2024),link)

• "On the specific relative entropy between martingale diffusions on the line" (with Clara Unterberger, see document, Electronic Communications in Probability, 28: 1-12 (2023))

• "Bayesian learning with Wasserstein barycenters" (with Joaquin Fontbona, Gonzalo Ríos and Felipe Tobar, forthcoming in ESAIM: Probability and Statistics, preprint)

• "Dynamic Cournot-Nash Equilibrium: the non-potential case" (with Xin Zhang, Mathematics and Financial Economics, 17, pages 153–174 (2023), see article)

• "A non-linear monotonicity principle and applications to Schrödinger type problems" (with Mathias Beiglböck and Giovanni Conforti, preprint, Bulletin of the London Mathematical Society 2021)

• "Stochastic control of optimized certainty equivalents" (with Max Reppen and Ludovic Tangpi, preprint, Siam J. Financial Mathematics 2022, 13(3), 745-772)

• "Switching identities by probabilistic means" (with Alex Cox, Anne Grass and Martin Huesmann, preprint, Forthcoming in Séminaire de Probabilités)

• "Stability of martingale optimal transport and weak optimal transport" (with Gudmund Pammer, see bottom of page, Annals of Applied Probability 2022, Vol. 32, No. 1, 721-752.)

• "Estimating processes in adapted Wasserstein distance" (with Daniel Bartl, Mathias Beiglböck and Johannes Wiesel, see bottom of page, The Annals of Applied Probability. Volume: 32. Issue: 1. 2022 )

• "Applications of weak transport theory"  (with Gudmund Pammer, preprint, Bernoulli 2022, Vol. 28, No. 1, 370-394)

• "Cournot-Nash equilibrium and optimal transport in a dynamic setting" (with Beatrice Acciaio and Junchao Jia, preprint, SIAM Journal on Control and Optimization 2021, 59(3), 2273--2300)

• "Robust contracting in general contract spaces" (with Patrick Beissner and Ulrich Horst, preprint, Economic Theory 2022, 73.4, 917-945)

• "All adapted topologies are equal" (with Daniel Bartl, Mathias Beiglböck and Manu Eder, see document, Probability Theory and Related Fields (2020): 1-48.)

• "The mean field Schrödinger problem: ergodic behavior, entropy estimates and functional inequalities" (with Giovani Conforti, Christian Léonard and Ivan Gentil, see document, Probability Theory and Related Fields 178(1), 475-530)

• "Martingale Benamou-Brenier: a probabilistic perspective" (with Mathias Beiglböck, Martin Huesmann and Sigrid Källblad, see bottom of page, Annals of Probability 2020, Vol. 48, No. 5, 2258-2289)

• "Weak monotone rearrangement on the line" (with Mathias Beiglböck and Gudmund Pammer, preprint, Electronic Communications in Probability, Volume 25 (2020), no. 18, 16 pp.)

• "Fundamental properties of process distances" (with Mathias Beiglböck, Manu Eder and Alois Pichler, see document, Stochastic Processes and their Applications (2020) )

• "Adapted Wasserstein distances and stability in mathematical finance" (with Daniel Bartl, Mathias Beiglböck and Manu Eder, see document, Finance and Stochastics 24.3 (2020): 601-632)

• "Non-exponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and Control" (with Daniel Lacker and Ludovic Tangpi, see bottom of page, Annals of Applied Probability 30.3 (2020): 1321-1367)

• "Existence, duality and cyclical monotonicity for weak transport costs" (with Mathias Beiglböck and Gudmund Pammer, see document, Calculus of Variations and Partial Differential Equations, 58:203 (2019))

• "Extended Mean Field Control Problems: stochastic maximum principle and transport perspective" (with Beatrice Acciaio and Rene Carmona, see bottom of page, SIAM Journal on Control and Optimization 57(6), 2019, pp. 3666–3693)

• "Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization" (with Beatrice Acciaio and Anastasiia Zalashko, preprint, Stochastic Processes and their Applications, Volume 130, Issue 5, 2918-2953)  

• "On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration" (with Ludovic Tangpi, see document, Mathematics and Financial Economics 14, 433-460(2020)

• "Causal transport in discrete time and applications" (with Mathias Beiglböck, Yiqing Lin and Anastasiia Zalashko, preprint, SIAM Journal on Optimization 27 (2017), no.4, 2528-2562).

• "Sensitivity analysis for expected utility maximization in incomplete Brownian market models" (with Francisco Silva, see document, Mathematics and Financial Economics 12 (2018), no.3, 387-411)

• "Some sensitivity results in stochastic optimal control: A Lagrange multiplier point of view," (with Francisco Silva, see preprint. ESAIM Control Optimization and Calculus of Variations 23 (2017), no. 1, 39-70)

• "Robust utility maximization without model compactness" (with Joaquín Fontbona, see bottom of page. SIAM Journal on Financial Math. 7-1 (2016), pp. 70-103)

• "Conditional analysis and a Principal-Agent problem"  (with Ulrich Horst, see bottom of page.  SIAM Journal on Financial Mathematics 7 (2016), no. 1, 477–507)

PREPRINTS:

• "Specific Wasserstein divergence between continuous martingales" (with Xin Zhang, preprint) 

• "The Bass functional of martingale transport" (with Walter Schachermayer and Bertram Tschiderer, preprint)

• "The Structure of Martingale Benamou Brenier in Rd" (with Mathias Beiglböck, Walter Schachermayer and Bertram Tschiderer, preprint )

• "The geometry of financial institutions: Wasserstein clustering of financial data" (with Lorenz Riess, Mathias Beiglboeck, Johannes Temme and Andreas Wolf, preprint)

• "Quantitative Fundamental Theorem of Asset Pricing" (with Beatrice Acciaio and Gudmund Pammer, preprint )

• "Adapted Wasserstein distance between the laws of SDEs" (with Sigrid Källblad and Benjamin Robinson, preprint)

• "Generalized entropy minimization under full marginal constraints" (with Joaquín Fontbona, preprint)

Theses:

PhD Thesis (2015): "Functional analytic approaches to some stochastic optimization problems", supervision of Prof. Dr. Ulrich Horst. (can be found here: Humboldt-Universitaet Library)

Engineering Mathematics Thesis: "Optimización robusta de portafolios en un mercado financiero a tiempo continuo: caso de incertidumbre no compacta o lineal", supervision of Prof. Dr. Joaquín Fontbona Torres. (click here for original/spanish version ).

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