Results
Publications
- M. Beiglböck, G. Pammer, L. Riess: “Change of numaire for weak Martingale Transport”. Stoch. Proc. Appl. 192, 104779, 2026. doi:10.1016/j.spa.2025.104779
- L. Riess, M. Beiglböck, J. Temme, A. Wolf, J. Backhoff-Veraguas: “The geometry of financial institutions -- Wasserstein clustering of financial data”. Math. Fin. Econ., 19, 877–900, 2025. doi:10.1007/s11579-025-00394-2
- M. Beiglböck, G. Pammer, S. Schrott: “Denseness of biadapted Monge mappings”. Ann. Inst. H. Poincaré Probab. Statist. 61(1): 329-349, 2025. doi:10.1214/23-AIHP1431
- J. Backhoff-Veraguas, W. Schachermayer, B. Tschiderer: “The Bass functional of martingale transport”. Ann. Appl. Probab. 35(6): 4282-4301, 2025. doi:10.1214/25-AAP2221
- J. Backhoff-Veraguas, G. Pammer, W. Schachermayer: “The L2 gradient flow of the Bass functional in martingale optimal transport”. Math. Finan. Econ. 19, 665–686, 2025. doi:10.1007/s11579-025-00395-1
- G. Pammer, B. A. Robinson, W. Schachermayer: “A regularized Kellerer theorem in arbitrary dimension”. Ann. Appl. Probab. 35(2): 749-778, 2025. doi:10.1214/24-AAP2125
- J. Backhoff-Veraguas, M. Beiglboeck: “The most exciting game”. Electron. Commun. Probab. 29: 1-12, 2024. doi:10.1214/24-ECP574
- M. Beiglböck, G. Lowther, G. Pammer & W. Schachermayer: “Faking Brownian motion with continuous Markov martingales”. Finance and Stochastics 28, 259-284, 2024. doi:10.1007/s00780-023-00526-w
- S. Schrott, D. Toneian: “On Strassen’s theorem for support functions”. Electron. Commun. Probab. 29 1 - 12, 2024. doi:10.1214/24-ECP618
- D. Bartl, M. Beiglböck, G. Pammer: “The Wasserstein space of stochastic processes”. J. Eur. Math. Soc. 28(1): 393–454, 2023. doi:10.4171/jems/1554
- I. Karatzas and W. Schachermayer: “A Weak Law of Large Numbers for Dependent Random Variables”. Theory of Probability and its Applications & Teor. Veroyatnost. i Primenen, Vol. 68, No. 3, pp. 501-509, 2023. doi:10.1137/S0040585X97T991593
Preprints
- I. Berkes, I. Karatzas, W. Schachermayer: Necessary and Sufficient Conditions for the Lacunary/Hereditary Laws of Large Numbers. Preprint, arXiv:2602.23124
- J. Backhoff-Veraguas, M. Beiglböck, W. Schachermayer, B. Tschiderer: Existence of Bass martingales and the martingale Benamou Brenier problem in Rd. To appear in Annals of Probability, arXiv:2306.11019
- B. Acciaio, M. Beiglböck, E. Kolosov, G. Pammer: Strassen's theorem for biased convex order. Preprint, arXiv:2509.13041
- M. Beiglböck, M. Zona: Pinsker's inequality for adapted total variation. Preprint, arXiv:2506.22106
- W. Schachermayer, P. Siorpaes: Stretched Brownian Motion: convergence of dual optimising sequencesm. Preprint, arXiv:2508.20017
- I. Berkes, I. Karatzas, W. Schachermayer: Hereditary Hsu-Robbins-Erdös Law of Large Numbers. Preprint, arXiv:2503.19484
- D. Bartl, M. Beiglböck, G. Pammer, S. Schrott, X. Zhang: The Wasserstein Space of Stochastic Processes in Continuous Time. Preprint, arXiv:2501.14135
- M. Beiglböck, S. Pflügl, S. Schrott: A Probabilistic View on the Adapted Wasserstein Distance. Preprint, arXiv:2406.19810
- M. Beiglböck, G. Pammer, X. Zhang, S. Schrott: Representing General Stochastic Processes as Martingale Laws. Preprint, arXiv:2312.16725
- W. Schachermayer, B. Tschiderer: The decomposition of stretched Brownian motion into Bass martingale. Preprint, arXiv:2406.10656
- M. Beiglböck, G. Pammer, A. Posch: The Knothe-Rosenblatt distance and its induced topology. Preprint, arXiv:2312.16515
- A. Grass: Perkins Embedding for General Starting Laws. Preprint, arXiv:2307.03618
- A. M. G. Cox, A. M. Grass: Robust option pricing with volatility term structure -- An empirical study for variance options. Preprint, arXiv:2312.09201
- A. M. G. Cox, A. M. Grass: Delayed switching identities and multi-marginal solutions to the Skorokhod embedding problem. Preprint, arXiv:2312.04218
- M. Beiglböck, G. Pammer, L. Riess, S. Schrott: The fundamental Theorem of weak optimal transport. Preprint, arXiv:2501.16316