Related papers: Martingale optimal transport duality
We provide a compactness criterion for the set of laws $\mathfrak{P}^{ac}_{sem}(\Theta)$ on the Skorokhod space for which the canonical process $X$ is a semimartingale having absolutely continuous characteristics with differential…
Kantorovich potentials denote the dual solutions of the renowned optimal transportation problem. Uniqueness of these solutions is relevant from both a theoretical and an algorithmic point of view, and has recently emerged as a necessary…
Stability of the value function and the set of minimizers w.r.t. the given data is a desirable feature of optimal transport problems. For the classical Kantorovich transport problem, stability is satisfied under mild assumptions and in…
This article characterizes conjugates and subdifferentials of convex integral functionals over linear spaces of cadlag stochastic processes. The approach is based on new measurability results on the Skorokhod space and new interchange rules…
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 study an optimal transport problem with a backward martingale constraint in a pseudo-Euclidean space $S$. We show that the dual problem consists in the minimization of the expected values of the Fitzpatrick functions associated with…
The aim of the present paper is to extend Kantorovich's mass transport problem to the framework of upper/lower continuous capacities and to prove the cyclic monotonicity of the supports of optimal supermodular plans. As in the probabilistic…
We construct a pathwise calculus for functionals of integer-valued measures and use it to derive an martingale representation formula with respect to a large class of integer-valued random measures. Using these results, we extend the…
We consider the optimal transportation problem on a globally hyperbolic spacetime for some cost function $c_2$, which corresponds to the optimal transportation problem on a complete Riemannian manifold where the cost function is the…
The classical Kantorovich-Rubinstein duality theorem establishes a significant connection between Monge optimal transport and maximization of a linear form on the set of 1-Lipschitz functions. This result has been widely used in various…
This paper studies the uniqueness of solutions to the dual optimal transport problem, both qualitatively and quantitatively (bounds on the diameter of the set of optimisers). On the qualitative side, we prove that when one marginal…
The Kantorovich metric provides a way of measuring the distance between two Borel probability measures on a metric space. This metric has a broad range of applications from bioinformatics to image processing, and is commonly linked to the…
Let the process Y(t) be a Skorohod integral process with respect to Brownian motion. We use a recent result by Tudor (2004), to prove that Y(t) can be represented as the limit of linear combinations of processes that are products of forward…
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…
The dual attainment of the Monge--Kantorovich transport problem is analyzed in a general setting. The spaces $X, Y$ are assumed to be polish and equipped with Borel probability measures $\mu$ and $\nu$. The transport cost function $c:\XY…
We consider the simultaneous optimal transportation of measures, where the target marginal is not necessarily fixed. For this problem, we prove the existence of a solution for completely regular spaces and investigate the structure of the…
Linear transfers between probability distributions were introduced in [5,6] in order to extend the theory of optimal mass transportation while preserving the important duality established by Kantorovich. It is shown here that $\{0,…
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…
Describing shapes by suitable measures in object segmentation, as proposed in [24], allows to combine the advantages of the representations as parametrized contours and indicator functions. The pseudo-Riemannian structure of optimal…
We suggest a new way of defining optimal transport of positive-semidefinite matrix-valued measures. It is inspired by a recent rendering of the incompressible Euler equations and related conservative systems as concave maximization…