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:
"Geometric martingale Benamou-Brenier transport and geometric Bass martingales" (with Gregoire Loeper and Jan Obloj, preprint )
"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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