Stephan Eckstein

Carleton University — Canada

Decision Sciences · Social Sciences

8h-index166citations40works2.32yr avg
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Research Topics

Risk and Portfolio Optimization(8), Markov Chains and Monte Carlo Methods(8), Geometric Analysis and Curvature Flows(7), Stochastic processes and financial applications(6), Nonlinear Partial Differential Equations(6)

Publications40 total

Sector-Coupled Optimization of Space Conditioning in Canada
2025
Fast Wasserstein rates for estimating probability distributions of probabilistic graphical models
arXiv (Cornell University)·2025Open Access
Sparse Regularized Optimal Transport without Curse of Dimensionality
arXiv (Cornell University)·2025Open Access
Hilbert’s projective metric for functions of bounded growth and exponential convergence of Sinkhorn’s algorithm
Probability Theory and Related Fields·2025· 2 citedOpen Access
Exponential convergence of general iterative proportional fitting procedures
arXiv (Cornell University)·2025Open Access
Optimal transport and Wasserstein distances for causal models
Bernoulli·2025· 1 cited
Time-Causal VAE: Robust Financial Time Series Generator
arXiv (Cornell University)·2024· 1 citedOpen Access
Stability and sample complexity of divergence regularized optimal transport
Bernoulli·2024· 6 cited
Optimal nonparametric estimation of the expected shortfall risk
arXiv (Cornell University)·2024Open Access
Computational methods for adapted optimal transport
The Annals of Applied Probability·2024· 13 cited
Hilbert's projective metric for functions of bounded growth and exponential convergence of Sinkhorn's algorithm
arXiv (Cornell University)·2023Open Access
Estimating the Rate-Distortion Function by Wasserstein Gradient Descent
arXiv (Cornell University)·2023· 2 citedOpen Access
Convergence Rates for Regularized Optimal Transport via Quantization
Mathematics of Operations Research·2023· 16 cited
Optimal transport and Wasserstein distances for causal models
arXiv (Cornell University)·2023Open Access
Stability and Sample Complexity of Divergence Regularized Optimal Transport
arXiv (Cornell University)·2022· 3 citedOpen Access
Quantitative Stability of Regularized Optimal Transport and Convergence of Sinkhorn's Algorithm
SIAM Journal on Mathematical Analysis·2022· 24 cited
Convergence Rates for Regularized Optimal Transport via Quantization
arXiv (Cornell University)·2022· 1 citedOpen Access
Dimensionality Reduction and Wasserstein Stability for Kernel Regression
arXiv (Cornell University)·2022Open Access
Computational methods for adapted optimal transport
arXiv (Cornell University)·2022· 2 citedOpen Access
Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness
SIAM Journal on Control and Optimization·2022· 10 cited
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Frequent Co-authors

Michael Kupper(9), Marcel Nutz(7), Daniel Bartl(7), Gaoyue Guo(3), Tongseok Lim(3), Jan Obłój(3), Thibaut Lux(3), Antonis Papapantoleon(3), Gudmund Pammer(2), Michael Růžička(2), Luca De Gennaro Aquino(2), Erhan Bayraktar(2), Xin Zhang(2), Patrick Cheridito(2), Tobias Malkmus(1), Ioannis Toulopoulos(1), Yibo Yang(1), Stephan Mandt(1), Mathias Pohl(1), Beatrice Acciaio(1)