Faculty of Mathematics

Mathias Beiglböck

Mathias Beiglböck University of Vienna, Faculty of Mathematics (on leave) University of Bonn, Institute for Applied Mathematics (current) Office: Bonn 53115, Endenicher Allee 60, Room 4.036 Phone: +49 228 73 62212 Email: mathias.beiglboeck@univie.ac.at Homepage: http://www.mat.univie.ac.at/~mathias CV: pdf

Teaching:

• Markov processes (lecture) [webpage]
• Optimal transport (seminar)
• Modellierung Lehramt (seminar)

Research:

Preprints:

• A Model-free Version of the Fundamental Theorem of Asset Pricing and the Super-Replication Theorem., with B. Acciaio, F. Penkner, W. Schachermayer. [pdf]
• On a problem of optimal transport under marginal martingale constraints. with N. Juillet. [pdf]
• On the duality theory for the Monge-Kantorovich transport problem, with C. Leonard, W. Schachermayer. [pdf]
• A Simple Proof of the Bichteler-Dellacherie Theorem. with P. Siorpaes. [pdf]
• Cyclical Monotonicity and the Ergodic Theorem. [pdf]

Publications:

• Model-independent Bounds for Option Prices: A Mass Transport Approach, with P. Henry-Labordaire and F. Penkner., Finance and Stochastics, to appear [pdf]
• A Trajectorial Interpretation of Doob's Martingale Inequalities., with B. Acciaio, F. Penkner, W. Schachermayer, and J. Temme. Ann. Appl. Prob., to appear. [pdf]
• A short Proof of the Doob-Meyer Theorem, with W. Schachermayer, B. Veliyev. Stochastic Process. Appl., to appear. [pdf]
• Duality for rectified cost functions, with A. Pratelli Calc. Var. Partial Differential Equations, to appear. [pdf]
• A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage, with W. Schachermayer, B. Veliyev. Ann. Probab., to appear. [pdf]
• A general duality theorem for the Monge Kantorovich transport problem, with C. Leonard, W. Schachermayer. Studia Math., to appear. [pdf]
• A generalized dual maximizer for the Monge--Kantorovich transport problem, with C. Leonard, W. Schachermayer. ESAIM Probab. Stat., to appear. [pdf]
• Utility Maximization, Risk Aversion, and Stochastic Dominance, Math. Financ. Econ., to appear. with J. Muhle-Karbe, J. Temme. [pdf]
• Is the minimum value of an option on variance generated by local volatility?, with P. Friz, S. Sturm. SIAM J. Financial Math. , 2, 213--220, (2010). [pdf]
• Transfinite Approximation of Hindman's Theorem, with H. Towsner. Isreal J. Math., to appear. [pdf]
• An Ultrafilter Approach to Jin's Theorem. Isreal J. Math., to appear. [pdf]
• Sumset Phenomenon in Amenable Groups, with V. Bergelson and A. Fish, Adv. in Math., to appear. [pdf]
• Duality for Borel Measurable Cost Functions, with W. Schachermayer, Trans. Amer. Math. Soc., 363, no. 8, 4203-4224, (2011). [pdf]
• Clones from ideals, with M. Goldstern, L. Heindorf and M. Pinsker, Internat. J. Algebra Comput., to appear. [pdf]
• Optimal and better transport, with M. Goldstern, G. Maresch and W. Schachermayer, J. Funct. Anal. 256 (2009), no. 6, 1907-1927. [pdf]
• Arithmetic progressions in abundance by combinatorial means, Proc. Amer. Math. Soc., to appear. [pdf]
• Solvability of Rado systems in D-sets, with V. Bergelson, T. Downarowicz and A. Fish, Topology Appl., to appear. [pdf]
• A Variant of the Hales-Jewett theorem, Bull. Lond. Math. Soc. 360., 40 (2008), no. 2, 210-216. [pdf]
• Some new results in multiplicative and additive Ramsey Theory, with V. Bergelson, N. Hindman and D. Strauss, Trans. Amer. Math. Soc. 360. (2008) no. 2, 819-847. [pdf]
• Strong characterizing sequences of countable groups, J. of Number Theory 127 (2007), no. 2, 145-152. [pdf]  
• A multidimensional Central Sets Theorem, Combin., Probab. and Comput. 15 (2006), no. 6, 807-814. [pdf]
• Multiplicative structures in additively large sets, with V. Bergelson, N. Hindman and D. Strauss, J. Combin. Theory Ser. A 113 (2006) no. 7, 1219-1242. [pdf]
• Sequences and filters of characters characterizing subgroups of compact abelian groups, with C. Steineder and R. Winkler, Topology Appl. 153 (2006), no. 11, 1682-1695. [pdf]