Publications and preprints
R. Han and J. Wiesel: Sample complexity for entropic optimal transport with radial cost, 2025.
Available at ArXiv:2510.05685.
M. Larsson, J. Park and J. Wiesel: The fast rate of convergence of the smooth adapted Wasserstein distance, 2025.
Available at ArXiv:2503.10827.
R. Mirmoninov and J. Wiesel: A dynamic programming principle for multiperiod control problems with bicausal constraints, 2024.
Available at ArXiv:2410.23927.
J. Blanchet, M. Larsson, J. Park and J. Wiesel. Bounding adapted Wasserstein metrics, 2024.
Available at ArXiv:2407.21492.
R. Han, C. Rush and J. Wiesel. Max-sliced Wasserstein concentration and uniform ratio bounds of empirical measures on RKHS, 2024.
Available at ArXiv:2405.13153.
J. Montiel Olea, C. Rush, A. Velez and J. Wiesel. On the generalization error of norm penalty linear regression models, 2022.
Available at ArXiv:2211.07608.
J. Blanchet, J. Wiesel, E. Zhang and Z. Zhang. Empirical martingale projections via the adapted Wasserstein distance, 2025+.
Ann. Apl. Probab. Available at ArXiv:2401.12197.
M. Nutz and J. Wiesel. On the Martingale Schrödinger Bridge between Two Distributions, 2025+.
Bernoulli. Available at ArXiv.2401.05209.
J. Wiesel and X. Xu: Sparsity of Quadratically Regularized Optimal Transport: Bounds on concentration and bias, 2025+.
SIAM J. Math. Anal. Available at ArXiv:2410.03425.
L. Carassus and J. Wiesel. Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity, 2025.
Finance Stoch. 29 219-551. Available at ArXiv:2306.01503.
M. Larsson, J. Park and J. Wiesel. On concentration of the empirical measure for radial transport costs, 2024.
Stochastic. Process. Appl. 178 (104466). Available at ArXiv:2305.18636.
J. Wiesel and E. Zhang. An optimal transport based characterization of convex order, 2023.
Depend. Model. 11(1). Available at ArXiv:2207.01235.
D. Bartl and J. Wiesel. Sensitivity of multi-period optimization problems in adapted Wasserstein distance, 2023.
SIAM J. Financial Math. 14(2) 704-720. Available at ArXiv:2208.05656.
J. Wiesel. Continuity of the martingale optimal transport problem on the real line, 2023.
Ann. Appl. Probab. 33(6A), 4645-4692. Available at arXiv:1905.04574.
M. Nutz, J. Wiesel, L. Zhao. Martingale Schrödinger Bridges and Optimal Semistatic Portfolios, 2023.
Finance Stoch. 27, 233-254. Available at ArXiv:2204.12250.
M. Nutz and J. Wiesel. Stability of Schrödinger Potentials and Convergence of Sinkhorn's Algorithm, 2023.
Ann. Probab. 51(2), 699-722. Available at ArXiv:2201.10059.
M. Nutz, J. Wiesel, L. Zhao. Limits of Semistatic Trading Strategies, 2022.
Math. Finance 33(1), 185-205. Available at ArXiv:2204.12251.
M. Nutz and J. Wiesel. Entropic Optimal Transport: Convergence of Potentials, 2022.
Probab. Theory Relat. Fields, 184, 401–424. Available at arXiv:2104.11720.
J. Wiesel. Measuring association with Wasserstein distances, 2022.
Bernoulli 28(4), 2816-2832. Available at arXiv:2102.00356.
J. Wiesel. On a Lusin theorem for capacities, 2022.
Proc. Am. Math. Soc. 150 (03), 1351-1360. Available at arXiv:2010.09491.
J. Backhoff, D. Bartl, M. Beiglböck, J. Wiesel. Estimating processes in adapted Wasserstein distance, 2022.
Ann. Appl. Probab. 32 (1), 529-550. Available at arXiv:2002.07261.
J. Obloj and J. Wiesel. Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets, 2021.
Math. Finance 31(4):1454-1493. Available at arXiv:2105.00935.
D. Bartl, S. Drapeau, J. Obloj, J. Wiesel. Sensitivity analysis of Wasserstein distributionally robust optimisation problems, 2021.
Proc. Roy. Soc. A 477:20210176. Available at arXiv:2006.12022.
J. Obloj and J. Wiesel. Robust estimation of superhedging prices, 2021.
Ann. Stat. 49(1), 508-530. Available at arXiv:1807.04211.
J. Obloj and J. Wiesel. A unified framework to modelling financial markets in discrete time, 2021.
Finance Stoch. 25(3):427-468. Available at arXiv:1808.06430.
L. Carassus, J. Obloj and J. Wiesel. The robust superreplication problem: a dynamic approach, 2019.
SIAM J. Financial Math. 10(4): 907–941. Available at arXiv:1812.11201.
S. Cohen, M. Tegner and J. Wiesel. Bounding quantiles of Wasserstein distance between true and empirical measure, 2019.
Working paper. Available at arXiv:1907.02006.
J. Wiesel, Data driven approach to robust pricing, hedging and risk management and its dynamics in time, 2020.