Related papers: A general condition for Monge solutions in the mul…
We present a general convex relaxation approach to study a wide class of Unbalanced Optimal Transport problems for finite non-negative measures with possibly different masses. These are obtained as the lower semicontinuous and convex…
We present a survey on several mass transportation problems, in which a given mass dynamically moves from an initial configuration to a final one. The approach we consider is the one introduced by Benamou and Brenier in [5], where a…
We study the small-regularisation limit of the entropic optimal transport problem on the line with distance cost. While convergence of entropic minimizers is well understood in the discrete setting and in the case where the cost is…
This paper investigates new first-order optimality conditions for general optimization problems. These optimality conditions are stronger than the commonly used M-stationarity conditions and are in particular useful when the latter cannot…
We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on transport's dynamics. We prove that the MOT value can be…
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…
We construct solutions to Monge-Amp\`ere equations whose Monge-Amp\`ere measures contain singular components supported on low codimensional sets. We also study the regularity of such solutions. To motivate our construction, we present…
We extend the variational approach to regularity for optimal transport maps initiated by Goldman and the first author to the case of general cost functions. Our main result is an $\epsilon$-regularity result for optimal transport maps…
We consider entropically regularized, semi-discrete versions of variational problems on the set of probability measures involving optimal transport as well as other terms. We prove that the solutions can be characterized by well-posed…
We investigate the convergence rate of multi-marginal optimal transport costs that are regularized with the Boltzmann-Shannon entropy, as the noise parameter $\varepsilon$ tends to $0$. We establish lower and upper bounds on the difference…
Consider a multiperiod optimal transport problem where distributions $\mu_{0},\dots,\mu_{n}$ are prescribed and a transport corresponds to a scalar martingale $X$ with marginals $X_{t}\sim\mu_{t}$. We introduce particular couplings called…
Solution of Monge equation of arbitrary degree (non linear differential equation n-orden) is connected with solution of functional equation for 4 functions with 4 different arguments. Some number solutions of this equation is represented in…
We formulate and study an optimal transportation problem with infinitely many marginals; this is a natural extension of the multi-marginal problem studied by Gangbo and Swiech (1998). We prove results on the existence, uniqueness and…
We solve the martingale optimal transport problem for cost functionals represented by optimal stopping problems. The measure-valued martingale approach developed in ArXiv: 1507.02651 allows us to obtain an equivalent infinite-dimensional…
It is well-known that duality in the Monge-Kantorovich transport problem holds true provided that the cost function $c:X\times Y\to [0,\infty]$ is lower semi-continuous or finitely valued, but it may fail otherwise. We present a suitable…
While many questions in robust finance can be posed in the martingale optimal transport framework or its weak extension, others like the subreplication price of VIX futures, the robust pricing of American options or the construction of…
In this paper, we prove a maximum principle for the general multi-term space-time-fractional transport equation and apply it for establishing uniqueness of solution to an initial-boundary-value problem for this equation. We also derive some…
We formulate an optimal transport problem for matrix-valued density functions. This is pertinent in the spectral analysis of multivariable time-series. The "mass" represents energy at various frequencies whereas, in addition to a usual…
In this paper we study general transportation problems in $\mathbb{R}^n$, in which $m$ different goods are moved simultaneously. The initial and final positions of the goods are prescribed by measures $\mu^-$, $\mu^+$ on $\mathbb{R}^n$ with…
Mass transportation problems appear in various areas of mathematics, their solutions involving cost convex potentials. Fenchel duality also represents an important concept for a wide variety of optimization problems, both from the…