Mathias Beiglböck

Beiglböck, M., Backhoff-Veraguas, J. D., Riess, L., Temme, J. & Wolf, A., 2023, (Submitted) AISTATS. (Proceedings of The 26th International Conference on Artificial Intelligence and Statistics, PMLR 206:11650-11670, 2023).

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The Knothe-Rosenblatt distance and its induced topology

Beiglböck, M., Pammer, G. & Posch, A., 2023, (Submitted) In: Electronic Journal of Probability.

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The structure of martingale Benamou−Brenier in R^d

Beiglböck, M., Backhoff-Veraguas, J. D., Schachermayer, W. & Tschiderer, B., 2023, (Submitted) In: Annals of Probability. 38 p.

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2022

A non-linear monotonicity principle and applications to Schrödinger-type problems

Backhoff-Veraguas, J. D., Beiglböck, M. & Conforti, G., Oct 2022, In: Bulletin of the London Mathematical Society. 54, 5, p. 1998-2013 16 p.

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Approximation of martingale couplings on the line in the adapted weak topology

Beiglböck, M., Jourdain, B., Margheriti, W. & Pammer, G., Jun 2022, In: Probability Theory and Related Fields. 183, 1-2, p. 359–413 55 p.

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Open Access

Estimating processes in adapted Wasserstein distance

Backhoff, J., Bartl, D., Beiglböck, M. & Wiesel, J., Feb 2022, In: Annals of Applied Probability. 32, 1, p. 529 - 550 22 p.

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Fine Properties of the Optimal Skorokhod Embedding Problem

Beiglböck, M., Nutz, M. & Steebegg, F., 2022, In: Journal of the European Mathematical Society. 24, 4, p. 1389–1429 41 p.

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From Bachelier to Dupire via optimal transport

Beiglböck, M., Pammer, G. & Schachermayer, W., 2022, In: Finance and Stochastics. 26, 1, p. 59-84 26 p.

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Open Access

Robust models of disease heterogeneity and control, with application to the SARS-CoV-2 epidemic

Johnson, K., Grass, A., Toneian, D., Beiglböck, M. & Polechová, J., 9 May 2022, In: PLOS Global Public Health. 2, 5, e0000412.

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SARS-CoV-2 rapid antigen tests provide benefits for epidemic control – observations from Austrian schools.

Polechová, J., Johnson, K. D., Payne, P., Crozier, A., Beiglböck, M., Plevka, P. & Schernhammer, E., 15 Jan 2022, In: Journal of Clinical Epidemiology. 145, p. 14-19 6 p.

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Open Access

The potential of the shadow measure

Beiglböck, M., Hobson, D. & Norgilas, D., 2022, In: Electronic Communications in Probability. 27, p. 1-12

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2021

Analysis of the specificity of a COVID-19 antigen test in the Slovak mass testing program

Hledik, M., Polechová, J., Beiglböck, M., Herdina, A. N., Strassl, R. & Posch, M., 29 Jul 2021, In: PLoS ONE. 16, 7, 6 p., e0255267.

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Open Access

Disease Momentum: Estimating the Reproduction Number in the Presence of Superspreading

Johnson, K., Beiglböck, M., Eder, M., Grass, A., Hermisson, J., Pammer, G., Polechová, J., Toneian, D. & Wölfl, B., 2021, In: Infectious Disease Modelling. 6, p. 706-728 23 p.

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Shadow couplings

Beiglböck, M. & Juillet, N., 2021, In: Transactions of the American Mathematical Society. 374, 7, p. 4973-5002 30 p.

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Weak transport for non-convex costs and model-independence in a fixed-income market

Acciaio, B., Beiglböck, M. & Pammer, G., Jul 2021, In: Mathematical Finance: an international journal of mathematics, statistics and financial economics. 31, 4, p. 1423–1453 31 p.

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Open Access

2020

Adapted Wasserstein distances and stability in mathematical finance

Backhoff-Veraguas, J., Bartl, D., Beiglböck, M. & Eder, M., Jul 2020, In: Finance and Stochastics. 24, 3, p. 601-632 32 p.

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Open Access

All adapted topologies are equal

Backhoff-Veraguas, J., Bartl, D., Beiglböck, M. & Eder, M., 2020, In: Probability Theory and Related Fields. 178, p. 1125-1172 48 p.

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Denseness of adapted processes among causal couplings

Beiglböck, M. & Lacker, D., 2020, arXiv.org.

Publications: Working paper › Preprint

EpiMath Austria: COVID-19 Modellierung am Beispiel Österreich

Beiglböck, M., Cebula, P., Eder, M., Grass, A., Hermisson, J., Hledik, M., Hütter, C., Iofinova, E., Johnson, K., Nordborg, M., Pisupati, R., Polechová, J., Puixeu, G., Reisenhofer, R., Sarikas, S., Toneian, D., Wölfl, B. & Zimmermann, C., 2020

Publications: Electronic/multimedia output › Web publication

Fundamental properties of process distances

Backhoff Veraguas, J., Beiglböck, M., Eder, M. & Pichler, A., Sep 2020, In: Stochastic Processes and their Applications. 130, 9, p. 5575-5591 17 p.

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Martingale Benamou–Brenier: A probabilistic perspective

Backhoff-Veraguas, J., Beiglböck, M., Huesmann, M. & Källblad, S., Sep 2020, In: Annals of Probability. 48, 5, p. 2258-2289 32 p.

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The geometry of multi-marginal Skorokhod Embedding

Beiglboeck, M., Cox, A. & Huesmann, M., Apr 2020, In: Probability Theory and Related Fields. 176, 3-4, p. 1045–1096 52 p.

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Weak monotone rearrangement on the line

Backhoff-Veraguas, J., Beiglböck, M. & Pammer, G., 2020, In: Electronic Communications in Probability. 25, p. 1-16 16 p.

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2019

A land of monotone plenty

Beiglböck, M. & Griessler, C., 2019, In: Annali della Scuola normale superiore di Pisa. Classe di scienze. 19, 1, p. 109-127 19 p.

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Dual attainment for the martingale transport problem

Beiglböck, M., Lim, T. & Obloj, J., Aug 2019, In: Bernoulli: a journal of mathematical statistics and probability. 25, 3, p. 1640–1658 19 p.

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Existence, duality, and cyclical monotonicity for weak transport costs

Backhoff-Veraguas, J., Beiglböck, M. & Pammer, G., Nov 2019, In: Calculus of Variations and Partial Differential Equations. 58, 28 p., 203.

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2018

Geometry of Distribution-Constrained Optimal Stopping Problems

Beiglböck, M., Eder, M., Elgert, C. & Schmock, U., Oct 2018, In: Probability Theory and Related Fields. 172, 1-2, p. 71-101 31 p.

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Open Access

2017

Causal Transport in Discrete Time and Applications

Backhoff, J., Beiglböck, M., Lin, Y. & Zalashko, A., Dec 2017, In: SIAM Journal on Optimization. 27, 4, p. 2528–2562 35 p.

Publications: Contribution to journal › Article › Peer Reviewed

Complete Duality for Martingale Optimal Transport on the Line

Beiglböck, M., Nutz, M. & Touzi, N., Sep 2017, In: Annals of Probability. 45, 5, p. 3038-3074 37 p.

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Open Access

Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem

Beiglböck, M., Cox, A., Huesmann, M. & Källblad, S., 23 Aug 2017, (Submitted) arXiv.org, 16 p.

Publications: Working paper › Preprint

Monotone martingale transport plans and Skorokhod embedding

Beiglböck, M., Henry-Labordere, P. & Touzi, N., 2017, In: Stochastic Processes and their Applications. 127, 9, p. 3005-3013 9 p.

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Open Access

Optimal transport and Skorokhod embedding

Beiglböck, M., Cox, A. & Huesmann, M., 2017, In: Inventiones Mathematicae. 208, 2, p. 327–400 74 p.

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Open Access

Pathwise superreplication via Vovk’s outer measure

Beiglböck, M., Cox, A., Huesmann, M., Perkowski, N. & Prömel, D. J., Oct 2017, In: Finance and Stochastics. 21, 4, p. 1141–1166 26 p.

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Open Access

Root to Kellerer

Beiglböck, M., Huesmann, M. & Stebegg, F., 2017, Séminaire de Probabilités XLVIII. Cham: Springer, Vol. 2168. p. 1-12 12 p. (Lecture Notes in Mathematics, Vol. 1).

Publications: Contribution to book › Chapter › Peer Reviewed

2016

On a problem of optimal transport under marginal martingale constraints

Beiglböck, M. & Juillet, N., 2016, In: Annals of Probability. 44, 1, p. 42-106 65 p.

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Open Access

2015

Cyclical Monotonicity and the Ergodic Theorem

Beiglböck, M., 2015, In: Ergodic Theory and Dynamical Systems. 35, 3, p. 710-713 4 p.

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Pathwise versions of the Burkholder-Davis-Gundy inequality

Beiglböck, M. & Siorpaes, P., 1 Feb 2015, In: Bernoulli: a journal of mathematical statistics and probability. 21, 1, p. 360-373 14 p.

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Open Access

2014

A Simple Proof of the Bichteler-Dellacherie Theorem

Beiglböck, M. & Siorpaes, P., 2014, In: Stochastic Processes and their Applications. 124, p. 1226-1235 12 p.

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Martingale Inequalities and Deterministic Counterparts

Beiglböck, M. & Nutz, M., 2014, In: Electronic Journal of Probability. 19, p. 1-15 15 p.

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On the duality theory for the Monge-Kantorovich transport problem

Beiglböck, M., Leonard, C. & Schachermayer, W., 2014, Optimal transportation: theory and applications. Yann, O., Herve, P. & Cedric, V. (eds.). Cambridge: Cambridge University Press, p. 216-265 50 p. (London Mathematical Society Lecture Note Series , Vol. 413).

Publications: Contribution to book › Chapter › Peer Reviewed