Related papers: On Optimal Stochastic Ballistic Transports
We introduce a new second order stochastic algorithm to estimate the entropically regularized optimal transport cost between two probability measures. The source measure can be arbitrary chosen, either absolutely continuous or discrete,…
We consider optimal transport based distributionally robust optimization (DRO) problems with locally strongly convex transport cost functions and affine decision rules. Under conventional convexity assumptions on the underlying loss…
Let $R$ and $B$ be two point sets in $\mathbb{R}^d$, with $|R|+ |B| = n$ and where $d$ is a constant. Next, let $\lambda : R \cup B \to \mathbb{N}$ such that $\sum_{r \in R } \lambda(r) = \sum_{b \in B} \lambda(b)$ be demand functions over…
The dynamical formulation of the optimal transport can be extended through various choices of the underlying geometry (kinetic energy), and the regularization of density paths (potential energy). These combinations yield different…
For a family of probability spaces $\{(X_k,\mathcal{B}_{X_k},\mu_k)\}_{k=1}^N$ and a cost function $c: X_1\times\cdots\times X_N\to \mathbb{R}$ we consider the Monge-Kantorovich problem \begin{align*}\tag{MK}\label{MONKANT}…
We introduce a new non-linear optimal transport formulation for a pair of probability measures on $\mathbb{R}^d$ sharing a common barycentre, in which admissible transference plans satisfy two martingale-type constraints. This bi-martingale…
We analyze a quantum version of the Monge--Kantorovich optimal transport problem. The quantum transport cost related to a Hermitian cost matrix $C$ is minimized over the set of all bipartite coupling states $\rho^{AB}$ with fixed reduced…
A recent paper by Cordero-Erausquin and Klartag provides a characterization of the measures $\mu$ on $\R^d$ which can be expressed as the moment measures of suitable convex functions $u$, i.e. are of the form $(\nabla u)\_\\#e^{- u}$ for…
We consider cost minimizing stopping time solutions to Skorokhod embedding problems, which deal with transporting a source probability measure to a given target measure through a stopped Brownian process. PDEs and a free boundary problem…
Viscous streaming has emerged as an effective method to transport, trap, and cluster inertial particles in a fluid. Previous work has shown that this transport is well described by the Maxey-Riley equation augmented with a term representing…
We consider the optimal transport problem between multivariate Gaussian stationary stochastic processes. The transportation effort is the variance of the filtered discrepancy process. The main contribution of this technical note is to show…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
The explicit semi-Lagrangian method method for solution of Lagrangian transport equations as developed in [Natarajan and Jacobs, Computer and Fluids, 2020] is adopted for the solution of stochastic differential equations that is consistent…
We discuss transport equations resulting from relativistic diffusions in the proper time. We show that a solution of the transport equation can be obtained from the solution of the diffusion equation by means of an integration over the…
In classical optimal transport, the contributions of Benamou-Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas.…
We study Mean Field stochastic control problems where the cost function and the state dynamics depend upon the joint distribution of the controlled state and the control process. We prove suitable versions of the Pontryagin stochastic…
We consider fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued (or switching) control and possibly a continuum-valued control. We construct a lower complexity…
The purpose of this paper is to examine the Lagrangian stochastic modeling of the fluid velocity seen by inertial particles in a nonhomogeneous turbulent flow. A new Langevin-type model, compatible with the transport equation of the drift…
We extend the classical regularity theory of optimal transport to non-optimal transport maps generated by heat flow for perturbations of Gaussian measures. Considering probability measures of the form $d\mu(x) = \exp\left(-\frac{|x|^2}{2} +…
This is the first part of a general description in terms of mass transport for time-evolving interacting particles systems, at a mesoscopic level. Beyond kinetic theory, our framework naturally applies in biology, computer vision, and…