Gudmund Pammer

List of publications

Preprints

with A. Kratsios and A. M. Neuman, Digital Computers Break the Curse of Dimensionality: Adaptive Bounds via Finite Geometry, 2024.
with A. Kolesov, P. Mokrov, I. Udovichenko, M Gazdieva, E. Burnaev and A. Korotin, Estimating Barycenters of Distributions with Neural Optimal Transport, submitted, 2024.
with B. Acciaio and D. Kršek, Multicausal transport: barycenters and dynamic matching, submitted, 2024.
with D. Kršek, General duality and dual attainment for adapted transport, submitted, 2024.
with M. Beiglböck, S. Schrott and X. Zhang, Representing General Stochastic Processes as Martingale Laws, 2023.
with M. Beiglböck and A. Posch, The Knothe-Rosenblatt distance and its induced topology, submitted, 2023.
with B. Acciaio and A. Marini, Calibration of the Bass Local Volatility model, submitted, 2023.
with A. Kolesov, P. Mokrov, I. Udovichenko, M Gazdieva, A. Kratsios, E. Burnaev and A. Korotin, Energy-Guided Continuous Entropic Barycenter Estimation for General Costs, submitted, 2023.
with D. Bartl and M. Beiglböck, The Wasserstein space of stochastic processes, under revision, 2023.
with B. Robinson and W. Schachermayer, A regularized Kellerer theorem in aribitrary dimension, under revision, 2022.
with B. Acciaio and J. Backhoff, Quantitative fundamental theorem of asset pricing, under revision, 2022.
with B. Acciaio, A short proof of the characterisation of convex order using the 2-Wasserstein distance, 2022.

Journal articles

with B. Jourdain, An extension of martingale transport and stability in robust finance, EJP, 2024.
A note on the adapted weak topology in discrete time, Electron. Commun. Probab., 29, 2024.
with S. Eckstein, Computational methods for adapted optimal transport, Ann. Appl. Probab., 34, 2024.
with M. Beiglböck, G. Lowther, and W. Schachermayer, Faking Brownian motion with continuous Markov martingales, Finance Stoch. , 2023.
with M. Beiglböck and S. Schrott, Denseness of biadapted Monge mappings, Ann. inst. Henri Poincare (B) Probab. Stat., 2023.
with B. Jourdain and W. Margheriti, Lipschitz continuity of the Wasserstein projection in the convex order on the line, Electron. Commun. Probab., 28, 2023.
with B. Acciaio and A. Kratsios, Designing universal causal deep learning models: the geometric (hyper)transformer, Math. Financ., 2023.
with M. Beiglböck, B. Jourdain, and W. Margheriti, Stability of the Weak Martingale Optimal Transport Problem, Ann. Appl. Probab., 2023.
with M. Beiglböck, B. Jourdain, and W. Margheriti, Approximation of martingale couplings on the line in the adapted weak topology, Probab. Theory Relat. Fields, 2022.
with J. Backhoff, Stability of martingale optimal transport and weak optimal transport, Ann. Appl. Probab., 2022.
with M. Beiglböck and W. Schachermayer, From Bachelier to Dupire via Optimal Transport, Finance Stoch., 2022.
with J. Backhoff, Applications of weak transport theory, Bernoulli, 28, 2022.
with B. Acciaio and M. Beiglböck, Weak transport for non-convex and model-independence in a fixed-income market, Math. Financ., 31, 2021.
with K. Johnson, M. Beiglböck, M. Eder, A. Grass, J. Hermisson, J. Polechova, D. Toneian, and B. Wölfl, Estimating the reproduction number in the presence of superspreading,arxiv, Infect. Dis. Model., 2021.
with J. Backhoff and M. Beiglböck, Weak monotone rearrangement on the line Electron. Commun. Probab. 25, 2020.
with J. Backhoff and M. Beiglböck, Existence, duality and cyclical monotonicity for weak transport costs Calc. Var. Partial. Differ. Equ. 58, 203, 2019.
with C. Heitzinger and S. Rigger, Cubature formulas for multisymmetric functions and applications to stochastic partial differential equations SIAM-ASA J UNCERTAIN, 6, 213-242, 2018.
with C. Heitzinger, M. Leumüller, and S. Rigger, Existence, uniqueness, and a comparison of nonintrusive methods for the stochastic nonlinear Poisson-Boltzmann equation SIAM-ASA J UNCERTAIN, 6, 1019-1042, 2018.