English

Bicausal optimal transport for SDEs with irregular coefficients

Probability 2025-10-29 v4 Numerical Analysis Numerical Analysis

Abstract

We solve constrained optimal transport problems in which the marginal laws are given by the laws of solutions of stochastic differential equations (SDEs). We consider SDEs with irregular coefficients, making only minimal regularity assumptions. We show that the so-called synchronous coupling is optimal among bicausal couplings, that is couplings that respect the flow of information encoded in the stochastic processes. Our results provide a method to numerically compute the adapted Wasserstein distance between laws of SDEs with irregular coefficients. We show that this can be applied to quantifying model uncertainty in stochastic optimisation problems. Moreover, we introduce a transformation-based semi-implicit numerical scheme and establish the first strong convergence result for SDEs with exponentially growing and discontinuous drift.

Keywords

Cite

@article{arxiv.2403.09941,
  title  = {Bicausal optimal transport for SDEs with irregular coefficients},
  author = {Michaela Hitz and Benjamin A. Robinson},
  journal= {arXiv preprint arXiv:2403.09941},
  year   = {2025}
}

Comments

44 pages, 5 figures

R2 v1 2026-06-28T15:21:05.026Z