Related papers: Multi-marginal optimal transport and multi-agent m…
We construct an explicit solution for the multimarginal transportation problem on the unit cube $[0,1]^3$ with the cost function $xyz$ and one-dimensional uniform projections. We show that the primal problem is concentrated on a set with…
We propose deep learning methods for classical Monge's optimal mass transportation problems, where where the distribution constraint is treated as penalty terms defined by the maximum mean discrepancy in the theory of Hilbert space…
We establish that solving an optimal transportation problem in which the source and target densities are defined on manifolds with different dimensions, is equivalent to solving a new nonlocal analog of the Monge-Amp\`ere equation,…
Motivated by applications in model-free finance and quantitative risk management, we consider Fr\'echet classes of multivariate distribution functions where additional information on the joint distribution is assumed, while uncertainty in…
It is known that the Azema-Yor solution to the Skorokhod embedding problem maximizes the law of the running maximum of an uniformly integrable martingale with given terminal value distribution. Recently this optimality property has been…
We provide a unifying interpretation of various optimal transport problems as a minimisation of a linear functional over the set of all Choquet representations of a given pair of probability measures ordered with respect to a certain convex…
We study a form of optimal transportation surplus functions which arise in hedonic pricing models. We derive a formula for the Ma-Trudinger-Wang curvature of these functions, yielding necessary and sufficient conditions for them to satisfy…
Optimal transport (OT) theory underlies many emerging machine learning (ML) methods nowadays solving a wide range of tasks such as generative modeling, transfer learning and information retrieval. These latter works, however, usually build…
We consider symmetric multi-marginal Kantorovich optimal transport problems on finite state spaces with uniform-marginal constraint. These problems consist of minimizing a linear objective function over a high-dimensional polytope, here…
In this paper we extend the duality theory of the multi-marginal optimal transport problem for cost functions depending on a decreasing function of the distance (not necessarily bounded). This class of cost functions appears in the context…
We develop an $\e$-regularity theory at the boundary for a general class of Monge-Amp\`ere type equations arising in optimal transportation. As a corollary we deduce that optimal transport maps between H\"older densities supported on $C^2$…
This paper focuses on martingale optimal transport problems when the martingales are assumed to have bounded quadratic variation. First, we give a result that characterizes the existence of a probability measure satisfying some convex…
We consider Kantorovich optimal transportation problem in the case where the cost function and marginal distributions continuously depend on a parameter with values in a metric space. We prove the existence of approximate optimal Monge…
A probabilistic method for solving the Monge-Kantorovich mass transport problem on $R^d$ is introduced. A system of empirical measures of independent particles is built in such a way that it obeys a doubly indexed large deviation principle…
We introduce a constrained optimal transport problem where origins $x$ can only be transported to destinations $y\geq x$. Our statistical motivation is to describe the sharp upper bound for the variance of the treatment effect $Y-X$ given…
In this paper, we prove second derivative estimates together with classical solvability for the Dirichlet problem of certain Monge-Ampere type equations under sharp hypotheses. In particular we assume that the matrix function in the…
We study the problem of maximizing a spectral risk measure of a given output function which depends on several underlying variables, whose individual distributions are known but whose joint distribution is not. We establish and exploit an…
Optimal Transport (OT) problems arise in a wide range of applications, from physics to economics. Getting numerical approximate solution of these problems is a challenging issue of practical importance. In this work, we investigate the…
We study the dual formulation of the Monge-Kantorovich optimal transportation problem, in particular under what circumstances it is permitted in an infinite dimensional setting to use cylindrical functions, i.e. functions of the form…
We present a primal-dual dynamical formulation of the multi-marginal optimal transport problem for (semi-)convex cost functions. Even in the two-marginal setting, this formulation applies to cost functions not covered by the classical…