Dynamic characterization of barycentric optimal transport problems and their martingale relaxation
Probability
2025-11-27 v1 Optimization and Control
Mathematical Finance
Abstract
We extend the Benamou-Brenier formula from classical optimal transport to weak optimal transport and show that the barycentric optimal transport problem studied by Gozlan and Juillet has a dynamic analogue. We also investigate a martingale relaxation of this problem, and relate it to the martingale Benamou-Brenier formula of Backhoff-Veraguas, Beiglb\"ock, Huesmann and K\"allblad.
Cite
@article{arxiv.2511.21287,
title = {Dynamic characterization of barycentric optimal transport problems and their martingale relaxation},
author = {Ivan Guo and Severin Nilsson and Johannes Wiesel},
journal= {arXiv preprint arXiv:2511.21287},
year = {2025}
}