Info: My name is Daniel Bartl. I finished my PhD in mathematics under the supervision of Michael Kupper at University of Konstanz in 2019. Since 2019, I am a postdoc at the Faculty of Mathematics at the University of Vienna, working in the group of Mathias Beiglboeck and Walter Schachermayer.
Funding:
Principle Investigator of FWF project P34743, ca 400.000 Euro
Principle Investigator of FWF project ESP31 (mentor Mathias Beiglboeck), ca 300.000 Euro
Articles (see also google scholar):
A uniform Dvoretzky-Kiefer-Wolfowitz inequality with S. Mendelson
preprint
Sensitivity of robust optimization problems under drift and volatility uncertainty with A. Neufeld, K. Park
preprint
Empirical approximation of the gaussian distribution in R^d with S. Mendelson
preprint
Optimal non-gaussian Dvoretzky-Milman embeddings with S. Mendelson
International Mathematics Research Notices, 2023+
Structure preservation via the Wasserstein distance with S. Mendelson
preprint
Sensitivity of multiperiod optimization problems with respect to the adapted Wasserstein distance with J. Wiesel
Siam Journal on Financial Mathematics, 14(2):704-720, 2023
Random embeddings with an almost Gaussian distortion with S. Mendelson
Advances in Mathematics, 400:108261, 2022
The Wasserstein space of stochastic processes with M. Beiglboeck, G. Pammer
preprint
On Monte-Carlo methods in convex stochastic optimization with S. Mendelson
Annals of Applied Probability, 32(4):3146-3198, 2022
Limits of random walks with distributionally robust transition probabilities with S. Eckstein, M. Kupper
Electronic Communications in Probability, 26(28):1-13, 2021
Duality theory for robust utility maximization with M. Kupper, A. Neufeld
Finance and Stochastics, 25(3):469-503, 2021
Sensitivity analysis of Wasserstein distributionally robust optimization problems with S. Drapeau, J. Obloj, J. Wiesel
Proceedings of the Royal Society A, 477:2256, 2021
Mathematics of Operations Research, 48(4):2129-2155, 2023
Estimating processes in adapted Wasserstein distance with J. Backhoff, M. Beiglboeck, J. Wiesel
Annals of Applied Probability, 32(1):529-550, 2022
Functional inequalities for forward and backward diffusions with L. Tangpi
Electronic Journal of Probability, 25(94):1-22, 2020
All adapted topologies are equal with J. Backhoff, M. Beiglboeck, M. Eder
Probability Theory and Related Fields, 78(3):1125–1172, 2020
Adapted Wasserstein distances and stability in mathematical finance with J. Backhoff, M. Beiglboeck, M. Eder
Finance and Stochastics, 24(3):601-632, 2020
Stochastic integration and differential equations for typical paths with M. Kupper, A. Neufeld
Electronic Journal of Probability, 24(97):1-21, 2019
Robust expected utility maximization with medial limits with P. Cheridito, M. Kupper
Journal of Mathematical Analysis and Applications, 471(1-2):752-775, 2019
Pathwise superhedging on prediction sets with M. Kupper, A. Neufeld
Finance and Stochastics, 24(1):215-248, 2020
Marginal and dependence uncertainty: bounds, optimal transport, and sharpness with M. Kupper, T. Lux, A. Papapantoleon
Siam Journal on Control and Optimization, 60(1), 410-434, 2022
Computational aspects of robust optimized certainty equivalents and option pricing with S. Drapeau, L. Tangpi
Mathematical Finance, 30(1):287-309, 2020
Duality for pathwise superhedging in continuous time with M. Kupper, D. Prömel, L. Tangpi
Finance and Stochastics, 23(3):697-728, 2019
A pointwise bipolar theorem with M. Kupper
Proceedings of the American Mathematical Society, 147(4):1483-1495, 2019
Stochastic Processes and their Applications, 130(2):785-805, 2020
Annals of Applied Probability, 29(1):577-612, 2019
Awards:
Best dissertation prize awarded by the DMV-Fachgruppe Stochastik (`German Mathematical Society - probability group')
Best dissertation prize awarded by the Mathematics and Statistics department in the University of Konstanz
'Bruti-Liberaty prize' awarded by the Bachelier Finance society
'Excellence Award' by the Verein zur Förderung der Versicherungswissenschaft in Hamburg
Recent teaching activities:
Guest lecturer for tutorials "Stochastics for Engineers", Klagenfurt WS 23/24
Minicourse "Introduction to mathematics of statistical learning theory" at Vienna school of mathematics, Mai 2023
Minicourse "Introduction to geometric aspects of statistical learning theory" at NTU Singapore 5 weeks, Jan-Feb 2023
Some of my recent activities:
Mathematical and Statistical Methods for Actuarial Sciences and Finance (talk), 2024
Austrian Statistics days (talk), 2024
Research stay ETH (visiting Shahar Mendelson), 2024
High dimensional phenomena: geometric and probabilistic aspects (HIM Bonn, workshop participant), 2024
Research stay UPF Barcelona (visiting Gabor Lugosi), 2024
ETH seminar Data, Algorithms, Combinatorics, and Optimization (talk), 2023
Advances in Stochastic Analysis for Handling Risks in Finance and Insurance (talk), 2023
ETH seminar Financial and Insurance Mathematics (talk), 2023
McMaster University Seminar Geometric Deep Learning (talk), 2023
Other activities:
Member of European Mathematical Society - Young Accademy, 2024-2027
Member of organising committee for Austrian Stochastic Days 2022
Co-authors: Julio Backhoff, Mathias Beiglboeck, Patrick Cheridito, Samuel Drapeau, Stephan Eckstein, Manu Eder, Michael Kupper, Thibaut Lux, Shahar Mendelson, Ariel Neufeld, Jan Obloj, Gudmund Pammer, Antonis Papapantoleon, Kyunghyun Park, David Proemel, Ludovic Tangpi, Johannes Wiesel
Contact: daniel dot bartl at univie dot ac dot at and here