Related papers: Duality for increasing convex functionals with cou…
A function is exponentially concave if its exponential is concave. We consider exponentially concave functions on the unit simplex. In a previous paper we showed that gradient maps of exponentially concave functions provide solutions to a…
For divisors over smooth projective varieties, we show that the volume can be characterized by the duality between pseudo-effective cone of divisors and movable cone of curves. Inspired by this result, we give and study a natural…
We investigate the connections between continuous model theory, free probability, and optimal transport/convex analysis in the context of tracial von Neumann algebras. In particular, we give an analog of Monge-Kantorovich duality for…
Some new bounds for the Chebychev functional of a pair of vectors in inner product spaces are pointed out. Reverses for the celebrated Jensen's inequality for convex functions defined on inner product spaces are given as well.
The paper is accompanying "A general Duality Theorem for the Monge-Kantorovich Transport Problem". We explain the methods used in this article in an elementary setting and present two examples complementing the results obtained therein.
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…
We show that the main results of the expected utility and dual utility theories can be derived in a unified way from two fundamental mathematical ideas: the separation principle of convex analysis, and integral representations of continuous…
The paper is accompanying "A general Duality Theorem for the Monge-Kantorovich Transport Problem". We explain the methods used in this article in an elementary setting and present two examples complementing the results obtained therein.
We consider weak optimal problems (possibly entropically penalized) incorporating both soft and hard (including the case of the martingale condition) moment constraints. Even in the special case of the martingale optimal transport problem,…
Countable projective limits of countable inductive limits, so-called PLB-spaces, of weighted Banach spaces of continuous functions have recently been investigated by Agethen, Bierstedt and Bonet, who analyzed locally convex properties in…
We generalize a result of Freedman and He, concerning the duality of moduli and capacities in solid tori, to sufficiently regular metric spaces. This is a continuation of the work of the author and K. Rajala on the corresponding duality in…
Adapted or causal transport theory aims to extend classical optimal transport from probability measures to stochastic processes. On a technical level, the novelty is to restrict to couplings which are bicausal, i.e. satisfy a property which…
We develop a connection between mixture and envelope representations of objective functions that arise frequently in statistics. We refer to this connection using the term "hierarchical duality." Our results suggest an interesting and…
We establish dual attainment for the multimarginal, multi-asset martingale optimal transport (MOT) problem, a fundamental question in the mathematical theory of model-independent pricing and hedging in quantitative finance. Our main result…
The objective of this paper is to develop a duality between a novel Entropy Martingale Optimal Transport problem (A) and an associated optimization problem (B). In (A) we follow the approach taken in the Entropy Optimal Transport (EOT)…
This paper considers a general convex constrained problem setting where functions are not assumed to be differentiable nor Lipschitz continuous. Our motivation is in finding a simple first-order method for solving a wide range of convex…
We show how our recent results on compositions of d.c. functions (and mappings) imply positive results on extensions of d.c. functions (and mappings). Examples answering two natural relevant questions are presented. Two further theorems,…
Given a compact metric space $X$, the collection of Borel probability measures on $X$ can be made into a compact metric space via the Kantorovich metric. We partially generalize this well known result to projection-valued measures. In…
Typical dualities in arbitrary dimensions are understood through a Hilbert-space extension method. By these results, we rigorously dualize the quantum ingappabilities to discrete height model in one dimension which is inaccessible by…
We show that capacity can be computed with locally Lipschitz functions in locally complete and separable metric spaces. Further, we show that if $(X,d,\mu)$ is a locally complete and separable metric measure space, then continuous functions…