Julio Backhoff Veraguas
Title
Cited by
Cited by
Year
Extended mean field control problems: stochastic maximum principle and transport perspective
B Acciaio, J Backhoff-Veraguas, R Carmona
SIAM journal on Control and Optimization 57 (6), 3666-3693, 2019
392019
Existence, duality, and cyclical monotonicity for weak transport costs
J Backhoff-Veraguas, M Beiglböck, G Pammer
Calculus of Variations and Partial Differential Equations 58 (6), 203, 2019
33*2019
Martingale Benamou--Brenier: a probabilistic perspective
J Backhoff-Veraguas, M Beiglböck, M Huesmann, S Källblad
Forthcoming at Annals of Probability (arXiv:1708.04869), 2017
312017
Causal transport in discrete time and applications
J Backhoff, M Beiglbock, Y Lin, A Zalashko
SIAM Journal on Optimization 27 (4), 2528-2562, 2017
29*2017
All adapted topologies are equal
J Backhoff-Veraguas, D Bartl, M Beiglböck, M Eder
Probability Theory and Related Fields 178 (3), 1125-1172, 2020
27*2020
Adapted wasserstein distances and stability in mathematical finance
J Backhoff-Veraguas, D Bartl, M Beiglböck, M Eder
Forthcoming at Finance and Stochastics (arXiv:1901.07450), 2019
262019
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
B Acciaio, J Backhoff-Veraguas, A Zalashko
Stochastic Processes and their Applications 130 (5), 2918-2953, 2020
232020
The mean field Schr\" odinger problem: ergodic behavior, entropy estimates and functional inequalities
J Backhoff-Veraguas, G Conforti, I Gentil, C Léonard
Forthcoming at Probability Theory and Related Fields (arXiv:1905.02393), 2019
17*2019
Fundamental properties of process distances
J Backhoff Veraguas, M Beiglböck, M Eder, A Pichler
Stochastic Processes and their Applications (arXiv:1701.03955), 2017
15*2017
Bayesian learning with Wasserstein barycenters
J Backhoff-Veraguas, J Fontbona, G Rios, F Tobar
arXiv preprint arXiv:1805.10833, 2018
132018
Stability of martingale optimal transport and weak optimal transport
J Backhoff-Veraguas, G Pammer
arXiv preprint arXiv:1904.04171, 2019
122019
Sensitivity results in stochastic optimal control: A Lagrangian perspective
J Backhoff, FJ Silva
ESAIM: Control Optimization and Calculus of Variations 23 (1), 39-70, 2017
12*2017
Conditional analysis and a Principal-Agent problem
J Backhoff, U Horst
SIAM Journal on Financial Mathematics 7 (1), 477-507, 2016
112016
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
J Backhoff-Veraguas, L Tangpi
Mathematics and Financial Economics 14 (3), 433-460, 2020
10*2020
Robust utility maximization without model compactness
JD Backhoff Veraguas, J Fontbona
SIAM Journal on Financial Mathematics 7 (1), 70-103, 2016
92016
Weak monotone rearrangement on the line
J Backhoff-Veraguas, M Beiglböck, G Pammer
Electronic Communications in Probability 25, 1-16, 2020
82020
Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
J Backhoff-Veraguas, D Lacker, L Tangpi
The Annals of Applied Probability 30 (3), 1321-1367, 2020
72020
Estimating processes in adapted Wasserstein distance
J Backhoff, D Bartl, M Beiglböck, J Wiesel
arXiv preprint arXiv:2002.07261, 2020
72020
Stability of martingale optimal transport and weak optimal transport. arXiv e-prints, page
J Backhoff-Veraguas, G Pammer
arXiv preprint arXiv:1904.04171, 2019
72019
Sensitivity analysis for expected utility maximization in incomplete Brownian market models
J Backhoff-Veraguas, F Silva
Mathematics and Financial Economics 12 (3/2018), 387-411, 2018
72018
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Articles 1–20