Browsing Mathematics (Faculty of) by Subject "optimal transport"
Now showing items 1-1 of 1
-
Risk Measurement under Dependence Structure Ambiguity
(University of Waterloo, 2022-01-27)In this thesis, we work on a generalization of the entropy regularized optimal transport problem, with the objective function being (spectral) risk measures. We accomplish three goals: to present the corresponding dual ...