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We consider the numerical solution of the discrete multi-marginal optimal transport (MOT) by means of the Sinkhorn algorithm. In general, the Sinkhorn algorithm suffers from the curse of dimensionality with respect to the number of…
In this paper, we develop several related finite dimensional variational principles for discrete optimal transport (DOT), Minkowski type problems for convex polytopes and discrete Monge-Ampere equation (DMAE). A link between the discrete…
The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by [9,11]. We show that the dual formulation of this problem is valid in a context…
Optimal transport (OT) provides effective tools for comparing and mapping probability measures. We propose to leverage the flexibility of neural networks to learn an approximate optimal transport map. More precisely, we present a new and…
Optimal transport (OT) has become a natural framework for guiding the probability flows. Yet, the majority of recent generative models assume trivial geometry (e.g., Euclidean) and rely on strong density-estimation assumptions, yielding…
Optimal mechanisms have been provided in quite general multi-item settings, as long as each bidder's type distribution is given explicitly by listing every type in the support along with its associated probability. In the implicit setting,…
We present a novel hierarchical framework for optimal transport (OT) using string diagrams, namely string diagrams of optimal transports. This framework reduces complex hierarchical OT problems to standard OT problems, allowing efficient…
In this paper, we look into the minimum obstacle displacement (MOD) planning problem from a mobile robot motion planning perspective. This problem finds an optimal path to goal by displacing movable obstacles when no path exists due to…
In this paper we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two periods model. In particular, we consider the optimal transport plan constructed in…
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the classical constraints on marginal distributions at initial…
Optimal Transport (OT) has recently emerged as a powerful framework for learning minimal-displacement maps between distributions. The predominant approach involves a neural parametrization of the Monge formulation of OT, typically assuming…
Entropic Optimal Transport (EOT), also referred to as the Schr\"odinger problem, seeks to find a random processes with prescribed initial/final marginals and with minimal relative entropy with respect to a reference measure. The relative…
Conditional Optimal Transport (COT) problem aims to find a transport map between conditional source and target distributions while minimizing the transport cost. Recently, these transport maps have been utilized in conditional generative…
In this note, we derive upper-bounds on the statistical estimation rates of unbalanced optimal transport (UOT) maps for the quadratic cost. Our work relies on the stability of the semi-dual formulation of optimal transport (OT) extended to…
We show continuity of the martingale optimal transport optimisation problem as a functional of its marginals. This is achieved via an estimate on the projection in the nested/causal Wasserstein distance of an arbitrary coupling on to the…
A remarkable connection between optimal design and Monge transport was initiated in the years 1997 in the context of the minimal elastic compliance problem and where the euclidean metric cost was naturally involved. In this paper we present…
In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting. Instead of the classical constraints on marginal distributions, we consider a general framework of path dependent…
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
We introduce the framework of quadratic-form optimal transport (QOT), whose transport cost has the form $\iint c\,\mathrm{d}\pi \otimes\mathrm{d}\pi$ for some coupling $\pi$ between two marginals. Interesting examples of quadratic-form…
In its most general form, the optimal transport problem is an infinite-dimensional optimization problem, yet certain notable instances admit closed-form solutions. We identify the common source of this tractability as \textit{symmetry} and…